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http://bura.brunel.ac.uk/handle/2438/9693
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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Cunado, J | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.date.accessioned | 2015-01-12T12:27:26Z | - |
dc.date.available | 9999 | - |
dc.date.available | 2015-01-12T12:27:26Z | - |
dc.date.issued | 2011 | - |
dc.identifier.citation | American Journal of Economics and Business Administration, 3(4): 586, (October 2011) | en_US |
dc.identifier.issn | 1945-5488 | - |
dc.identifier.uri | http://connection.ebscohost.com/c/articles/71793962/forecasting-spanish-stock-market-returns-fractional-non-fractional-models | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/9693 | - |
dc.description.abstract | This note assesses the forecasting accuracy of various models of the Spanish stock market returns. We use daily data on the IBEX 35 for the time period January 4th, 2001 - March 28th, 2006, and employ both fractional and non-fractional models. Prediction errors for the out-of-sample forecasts indicate that the fractional models outperform the non-fractional ones. Standard forecasting criteria suggest that the ARFIMA(1, d, 0) model with d = -0.017 and the AR(1) coefficient equal to 0.068 is the best specification for this series. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Science Publications | en_US |
dc.subject | Fractional integration | en_US |
dc.subject | Stock market returns | en_US |
dc.title | Forecasting the Spanish stock market returns with fractional and non-fractional models | en_US |
dc.type | Article | en_US |
dc.relation.isPartOf | American Journal of Economics and Business Administration | - |
dc.relation.isPartOf | American Journal of Economics and Business Administration | - |
pubs.volume | Forthcoming | - |
pubs.volume | Forthcoming | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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Fulltext.doc | 78.5 kB | Microsoft Word | View/Open |
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