Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/49193
DC FieldValueLanguage
dc.contributor.authorFernández-Rodríguez, Fernando
dc.contributor.authorSosvilla-Rivero, Simón
dc.contributor.authorDolores García-Artiles, María
dc.date.accessioned2018-11-24T05:03:16Z-
dc.date.available2018-11-24T05:03:16Z-
dc.date.issued1999
dc.identifier.issn0922-1425
dc.identifier.urihttp://hdl.handle.net/10553/49193-
dc.description.abstractIn this paper we apply nearest-neighbour local predictors, inspired by the literature on forecasting in nonlinear systems, to the Nikkei 225 Index of the Tokyo Stock Market for the period 1 January 1986-5 June 1997. When forecasting performance is measured by Theil's U statistic, our nearest-neighbour predictors perform worse than a random walk, outperforming the random walk directional forecast. When formally testing for forecast accuracy, the results suggest that predictions from a random walk were statistically significantly better than the nearest-neighbour predictors for the entire forecasting period, as well as for one of the subperiods (a 'bull' market episode). Finally, when assessing the economic value of the nearest-neighbour predictors in absence of trading costs, the results of using them as a filter technique are superior to a buy-and-hold strategy for both the entire forecasting period acid for 'bear' market subperiods, where tests of 'forecast conditional efficiency' (or 'forecast encompassing') detected that the nearest-neighbour predictors contain useful information for forecasting the Nikkei Index that is not contained in the random walk. (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: C53; G15.
dc.publisher0922-1425
dc.relation.ispartofJapan and the World Economy
dc.sourceJapan and the World Economy[ISSN 0922-1425],v. 11, p. 395-413
dc.subject.otherEfficient Capital-Markets
dc.subject.otherNonlinear Dynamics
dc.subject.otherStock Returns
dc.subject.otherTime-Series
dc.subject.otherRegression
dc.subject.otherHeteroskedasticity
dc.titleDancing with bulls and bears: Nearest-neighbour forecasts for the Nikkei index
dc.typeinfo:eu-repo/semantics/Articlees
dc.typeArticlees
dc.identifier.scopus0033209146
dc.identifier.isi000083215200003
dc.contributor.authorscopusid6603053452
dc.contributor.authorscopusid6701863324
dc.contributor.authorscopusid6504828790
dc.description.lastpage413
dc.description.firstpage395
dc.relation.volume11
dc.type2Artículoes
dc.contributor.daisngid1514720
dc.contributor.daisngid514725
dc.contributor.daisngid19071883
dc.contributor.wosstandardWOS:Fernandez-Rodrguez, F
dc.contributor.wosstandardWOS:Sosvilla-Rivero, S
dc.contributor.wosstandardWOS:Garca-Artiles, MD
dc.date.coverdateOctubre 1999
dc.identifier.ulpgces
dc.description.jcr0,081
dc.description.jcrqQ4
dc.description.ssciSSCI
item.grantfulltextnone-
item.fulltextSin texto completo-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.orcid0000-0002-8808-9286-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNameFernández Rodríguez,Fernando Emilio-
Appears in Collections:Artículos
Show simple item record

Google ScholarTM

Check


Share



Export metadata



Items in accedaCRIS are protected by copyright, with all rights reserved, unless otherwise indicated.