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Comparing linear and nonlinear forecasts for stock returns
16 references·9 citing·44 second hop
Comparing linear and nonlinear forecasts for stock returns (2001)Comparing linear and nonlinear forecasts …The Econometrics of Financial Markets (2012)The Econometrics of Financial…How effective are neural networks at forecasting and prediction? A review and evaluation (1998)How effective are neural netw…Forecasting Economic Time Series (1998)Forecasting Economic Time Ser…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyTrading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Combining forecasts: A review and annotated bibliography (1990)Combining forecasts: A review…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Forecasting Economic Time Series (1986)Forecasting Economic Time Ser…Econometric Evaluation of Linear Macro-Economic Models (1986)Econometric Evaluation of Lin…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Rational Expectation…Market Fundamentals versus Price-Level Bubbles: The First Tests (1980)Market Fundamentals versus Pr…Forecasting Economic Time Series (1979)Forecasting Economic Time Ser…Using social media mining technology to improve stock price forecast accuracy (2019)Using social media mining tec…Forecasting volatility in oil prices with a class of nonlinear volatility models: smooth transition RBF and MLP neural networks augmented GARCH approach (2015)Forecasting volatility in oil…Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns (2014)Modeling Markov Switching ARM…Referential kNN Regression for Financial Time Series Forecasting (2013)Referential kNN Regression fo…Integrating Independent Component Analysis and Principal Component Analysis with Neural Network to Predict Chinese Stock Market (2011)Integrating Independent Compo…Prediction of index futures returns and the analysis of financial spillovers—A comparison between GARCH and the grey theorem (2007)Prediction of index futures r…Regime switching and artificial neural network forecasting of the Cyprus Stock Exchange daily returns (2006)Regime switching and artifici…Stock market prediction using neural networks: does trading volume help in short-term prediction? (2004)Stock market prediction using…Non‐linear forecasts of stock returns (2003)Non‐linear forecasts of stock…Expert judgment: Some necessary conditions and an example. 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(1989)Noise Trader Risk in Financial Markets (1990)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The Combination of Forecasts (1969)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)Combination forecasts of output growth in a seven‐country data set (2004)Handbook of Economic Forecasting (2013)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
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  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
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  • 1990Combining forecasts: A review and annotated bibliography1,465 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
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  • 1998

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How effective are neural networks at forecasting and prediction? A review and evaluation
451 cited

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  • 2003Non‐linear forecasts of stock returns60 cited
  • 2011Integrating Independent Component Analysis and Principal Component Analysis with Neural Network to Predict Chinese Stock Market54 cited
  • 2014Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns53 cited
  • 2004Stock market prediction using neural networks: does trading volume help in short-term prediction?45 cited
  • 2006Regime switching and artificial neural network forecasting of the Cyprus Stock Exchange daily returns27 cited
  • 2015Forecasting volatility in oil prices with a class of nonlinear volatility models: smooth transition RBF and MLP neural networks augmented GARCH approach26 cited