This study employs different nonlinear models (smooth transition autoregressive models (STAR), artificial neural networks (ANN) and nearest neighbours (NN)) to study the predictability of one-step-ahead forecast returns for the Ibex35 stock future index at a one year forecast horizon. It is...

Since Fama's Efficient Market Hypothesis (EMH), numerous authors have argued that it is impossible to constantly beat the market. The best an investor can do is buy and hold 'the market' through a market index. Taking into account the important role of market indices as benchmarks against which...

This study aims to refine unemployment forecasts by incorporating the degree of consensus in consumers' expectations. With this objective, we first model the unemployment rate in eight European countries using the step-wise algorithm proposed by Hyndman and Khandakar (J Stat Softw 27(3):1-22,...