Forecasting of Stock Returns with Non linear Models and the role of Trading Volume in Improving the Performance of These Models
Non-linear time series models have become fashionable tools to describe and forecast stock market returns in recent years. A significant amount of evidence supports a negative relationship between volume and future returns. This suggests that volume could act as a suitable threshold variable in LSTA...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2012-02-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_25022_1b614765c04cd3102614e4c6e4ab330e.pdf |