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)

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)

Recommendations

• Stock return predictability: a factor-augmented predictive regression system with shrinkage method
• Logistic regression model with technical indicators predicts ups and downs for Google stock prices
• A prediction model for stock market based on the integration of independent component analysis and multi-LSTM
• A data analytic approach to forecasting daily stock returns in an emerging market
• Stock market prediction based on adaptive training algorithm in machine learning

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
• Direct semi-parametric estimation of fixed effects panel data varying coefficient models
• 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

This page was built for publication: Semi-varying coefficient panel data model with technical indicators predicts stock returns in financial market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6595052)