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

DOI10.1007/S11424-024-2331-0zbMATH Open1546.91242MaRDI QIDQ6595052FDOQ6595052

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)

Cites Work

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• Estimation in a semi-varying coefficient model for panel data with fixed effects
• Semiparametric estimation of fixed-effects panel data varying coefficient models
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• Direct semi-parametric estimation of fixed effects panel data varying coefficient models
• Efficient estimation of a semiparametric partially linear varying coefficient model
• NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES
• Semiparametric estimation of partially varying-coefficient dynamic panel data models
• Semi-parametric inference for semi-varying coefficient panel data model with individual effects

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