Please use this identifier to cite or link to this item:
http://hdl.handle.net/10553/47043
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Pérez Rodríguez, Jorge Vicente | en_US |
dc.contributor.author | Torra, Salvador | en_US |
dc.contributor.author | Andrada Félix, Julián | en_US |
dc.date.accessioned | 2018-11-23T10:23:06Z | - |
dc.date.available | 2018-11-23T10:23:06Z | - |
dc.date.issued | 2005 | en_US |
dc.identifier.issn | 0960-3107 | en_US |
dc.identifier.uri | http://hdl.handle.net/10553/47043 | - |
dc.description.abstract | 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 found that the STAR, ANN and NN models beat the random walk (RW) and linear autoregressive (AR) models in out-of-sample forecast statistical accuracy, and also when economic criteria were used in a simple trading strategy including the impact of transaction costs on trading strategy profits. Finally, the overall results suggest that the nonlinear models (particularly ANN and NN) considered for the Ibex35 stock future index appear to provide a reasonable description of asset price movements in improving returns forecasts for the chosen horizon. | en_US |
dc.language | eng | en_US |
dc.publisher | 0960-3107 | |
dc.relation.ispartof | Applied Financial Economics | en_US |
dc.source | Applied Financial Economics[ISSN 0960-3107],v. 15, p. 963-975 | en_US |
dc.subject | 530202 Modelos econométricos | en_US |
dc.subject.other | Análisis de series temporales | en_US |
dc.subject.other | Teoría del caos | en_US |
dc.subject.other | Ibex35 | en_US |
dc.title | Are Spanish Ibex35 stock future index returns forecasted with non-linear models? | en_US |
dc.type | info:eu-repo/semantics/Article | es |
dc.type | Article | es |
dc.identifier.doi | 10.1080/09603100500108220 | |
dc.identifier.scopus | 27644509709 | - |
dc.contributor.authorscopusid | 56216749800 | - |
dc.contributor.authorscopusid | 9036281900 | - |
dc.contributor.authorscopusid | 6505916889 | - |
dc.description.lastpage | 975 | - |
dc.description.firstpage | 963 | - |
dc.relation.volume | 15 | - |
dc.investigacion | Ciencias Sociales y Jurídicas | en_US |
dc.type2 | Artículo | en_US |
dc.utils.revision | Sí | en_US |
dc.date.coverdate | Octubre 2005 | |
dc.identifier.ulpgc | Sí | es |
item.grantfulltext | none | - |
item.fulltext | Sin texto completo | - |
crisitem.author.dept | GIR Finanzas Cuantitativas y Computacionales | - |
crisitem.author.dept | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
crisitem.author.dept | GIR Finanzas Cuantitativas y Computacionales | - |
crisitem.author.dept | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
crisitem.author.orcid | 0000-0002-6738-9191 | - |
crisitem.author.orcid | 0000-0001-8598-3234 | - |
crisitem.author.parentorg | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
crisitem.author.parentorg | Departamento de Métodos Cuantitativos en Economía y Gestión | - |
crisitem.author.fullName | Pérez Rodríguez, Jorge Vicente | - |
crisitem.author.fullName | Andrada Félix, Julián | - |
Appears in Collections: | Artículos |
Items in accedaCRIS are protected by copyright, with all rights reserved, unless otherwise indicated.