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Modeling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers
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Sarno, Lucio and Valente, Giorgio (2003) Modeling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. (Working papers (Warwick Business School. Financial Econometrics Research Centre)).
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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
| Item Type: | Working or Discussion Paper (Working Paper) |
|---|---|
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School |
| Library of Congress Subject Headings (LCSH): | Stocks -- Rate of return, Economic forecasting, Futures market, Nonlinear theories |
| Series Name: | Working papers (Warwick Business School. Financial Econometrics Research Centre) |
| Publisher: | Warwick Business School, Financial Econometrics Research Centre |
| Place of Publication: | Coventry |
| Date: | October 2003 |
| Number: | No.04- |
| Number of Pages: | 38 |
| Status: | Not Peer Reviewed |
| Access rights to Published version: | Open Access |
| Description: | First version, April 2002; second revised version, October 2003 |
| Funder: | Economic and Social Research Council (Great Britain) (ESRC) |
| URI: | http://wrap.warwick.ac.uk/id/eprint/1787 |
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