Stock index return forecasting: the information of the constituents

DOI10.1016/J.ECONLET.2012.01.014zbMATH Open1253.91150OpenAlexW2027345708MaRDI QIDQ1925679FDOQ1925679

Authors: Charlie X. Cai, Khine Kyaw, Qi Zhang 

Publication date: 18 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.01.014

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zbMATH Keywords

stock returnsportfolio strategyindex forecasting

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate
• The information content of regional employment data for forecasting aggregate conditions
• Nowcasting from disaggregates in the face of location shifts

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