A predictive comparison of some simple long- and short memory models of daily US stock returns, with emphasis on business cycle effects

A predictive comparison of some simple long- and short memory models of daily US stock returns, with emphasis on business cycle effects

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Bibliographische Detailangaben
Veröffentlicht in:Nonlinear time series analysis of business cycles
1. Verfasser: Bhardwaj, Geetesh (VerfasserIn)
Weitere Verfasser: Swanson, Norman R. (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2006
Schlagworte:
Kapitaleinkommen > Konjunktur > ARCH-Modell > Theorie > USA > ARMA-Modell > STAR > Smooth Transition Autoregressive > Aufsatz im Buch
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