Predicting daily probability distributions of S&P500 returns

Journal of Forecasting

Volumn 19, Issue 4, 2000, Pages 375-392

  Weigend, Andreas S ^{a,c,d,e,f,g,h,i,j,k}   Shi, Shanming ^b,e,l  

^a ShockMarket Corporation   (United States)

^b JP Morgan Chase & Co   (United States)

^c Goldman Sachs Group   (United States)

^d NEW YORK UNIVERSITY   (United States)

^e UNIVERSITY OF COLORADO   (United States)

^f PALO ALTO RESEARCH CENTER   (United States)

^g SANTA FE INSTITUTE   (United States)

^h STANFORD UNIVERSITY   (United States)

ⁱ TRINITY COLLEGE   (United Kingdom)

^j UNIVERSITY OF BONN   (Germany)

^k UNIVERSITY OF KARLSRUHE   (Germany)

^l TIANJIN UNIVERSITY   (China)

more..

Author keywords

Conditional distribution; Density evaluation; Density prediction; Gated experts; Hidden Markov experts; Hidden Markov models; Mixture models; Time series analysis

Indexed keywords

EID: 0003188086     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/1099-131x(200007)19:4<375::aid-for779>3.3.co;2-l     Document Type: Article

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