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A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects

Geetesh Bhardwaj ,

Norman R. Swanson

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