Nonlinearity, data-snooping, and stock index ETF return predictability

DOI10.1016/j.ejor.2009.01.009zbMath1177.91111MaRDI QIDQ1042502

J. Blot

Publication date: 14 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.01.009

zbMATH Keywords

nonlinear models; random walk; forecasting evaluation; ishares; reality check

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures