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5. The forecasting of stock returns by an adaptive nonparametric kernel density approach

The forecasting of stock returns by an adaptive nonparametric kernel density approach

来源 :泛华统计学会(icsa)2015年学术会议 | 被引量 : 0次 | 上传用户：labidax

【摘 要】

：

It is of a great interest in literature to forecast the direction of stock returns,which is to some extent predictable.In this paper,we consider a new direction

【作 者】

：

Wentao Gu 

【机 构】

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DepartmentofStatistics,ZhejiangGongshangUniversity,Hangzhou,Zhejing,China

【出 处】

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泛华统计学会(icsa)2015年学术会议

【发表日期】

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2015年7期

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论文部分内容阅读

It is of a great interest in literature to forecast the direction of stock returns,which is to some extent predictable.In this paper,we consider a new directional forecasting model which is based on applying and extending the time-varying probability density function theory proposed by Harvey and Oryshchenko(2012).

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