A simple nonlinear predictive model for stock returns

journal contribution

posted on 2022-11-09, 02:46 authored by Biqing Cai, Jiti Gao

In this paper, we propose a simple approach to testing and modelling nonlinear

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Classification-JEL

C14, C22, G17

Creation date

2017-11-13

Working Paper Series Number

18/17

Length

27

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2017-18

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Keywords

Hermite functions out-of-sample forecast return predictability series estimator unit root.

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