Semi-varying coefficient panel data model with technical indicators predicts stock returns in financial market

DOI10.1007/S11424-024-2331-0MaRDI QIDQ6595052zbMATH OpenFDO

Authors Xuemei Hu, Ying Pan, Xiang Li

Publication date 29 August 2024

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11424-024-2331-0

zbMATH Keywords

fixed effectsrandom effectsstock returnstechnical indicatorssemi-varying coefficient panel data model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites work

• A Reality Check for Data Snooping
• Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• Efficient estimation for semivarying-coefficient models
• Efficient estimation of a semiparametric partially linear varying coefficient model
• Estimation in a semi-varying coefficient model for panel data with fixed effects
• Generalized autoregressive conditional heteroscedasticity
• NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES
• NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
• Nonparametric estimation and testing of fixed effects panel data models
• Partially linear varying-coefficient panel data models with fixed effects
• Profile likelihood estimation of partially linear panel data models with fixed effects
• Profile likelihood inferences on semiparametric varying-coefficient partially linear models
• Profile-kernel likelihood inference with diverging number of parameters
• Semi-parametric inference for semi-varying coefficient panel data model with individual effects
• Semiparametric estimation of fixed-effects panel data varying coefficient models
• Semiparametric estimation of partially varying-coefficient dynamic panel data models
• Variable selection in semiparametric regression modeling

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