Aligned Macroeconomic Index for Forecasting the Bear Markets
碩士 === 國立中央大學 === 財務金融學系 === 107 === We use the PLS method to construct an aligned macroeconomic index, which is powerful in forecasting the bear markets. By using the Markov-switching model to return of the S&P 500 index, we identify the bear market and obtain the probability of each period. No...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/gv5d8w |