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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...
| Item Type: | Working or Discussion Paper (Working Paper) | ||||
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| Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
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| Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School |
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| 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: |
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| 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| Status: | Not Peer Reviewed | ||||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 |
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| Funder: | Economic and Social Research Council (Great Britain) (ESRC) |
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