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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) (No.04-).

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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...

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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
Official Date: October 2003
Dates:
DateEvent
October 2003Completion
Number: No.04-
Number of Pages: 38
Institution: University of Warwick
Status: Not Peer Reviewed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)

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