A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects
Nonlinear Time Series Analysis of Business Cycles
ISBN: 978-0-44451-838-5, eISBN: 978-1-84950-833-9
Publication date: 8 February 2006
Citation
Bhardwaj, G. and Swanson, N.R. (2006), "A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects", Milas, C., Rothman, P.A., van Dijk, D. and Wildasin, D.E. (Ed.) Nonlinear Time Series Analysis of Business Cycles (Contributions to Economic Analysis, Vol. 276), Emerald Group Publishing Limited, Leeds, pp. 379-406. https://doi.org/10.1016/S0573-8555(05)76014-4
Publisher
:Emerald Group Publishing Limited
Copyright © 2006, Emerald Group Publishing Limited