STAR and ANN models: Forecasting performance on the Spanish "Ibex-35" stock index

Journal of Empirical Finance

Volumn 12, Issue 3, 2005, Pages 490-509

  Pérez Rodríguez, Jorge V ^a   Torra, Salvador ^b   Andrada Félix, Julián ^a  

^a UNIVERSITY OF LAS PALMAS DE GRAN CANARIA   (Spain)

^b UNIVERSITY OF BARCELONA   (Spain)

Author keywords

Nonlinearities; Statistical criteria; Trading strategies

Indexed keywords

EID: 19644366535     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2004.03.001     Document Type: Article

References (44)

1. M. Adya F. Collopy How effective are neural networks at forecasting and prediction? A review and evaluation Journal of Forecasting 17 1998 481-495
2. S. Alexander Price movements in speculative markets: Trends or random walks Industrial Management Review 2 1961 7-26
3. R. Boná M. Crucianu Multi-step-ahead prediction with neural networks: A review. Publication de l'equipe RFAI, 9′ emes rencontres internationals Approches Connexionnistes en Sciences Économiques et en Gestion 2002 97-106
4. Brock, W., Dechert, W., Scheinkman, J., 1987. A test for independence based on the correlation dimension. University of Wisconsin, Dept. of Economics. Revised in Brock, W., Dechert, W., Scheinkman, J. and LeBaron, B. (1996), Econometric Reviews 15, 197-235.
5. Y. Chong D. Hendry Econometric evaluation of linear macroeconomic models Review of Economic Studies 53 1986 671-690
6. M. Clements D. Hendry On the limitations of comparing mean square forecast errors Journal of Forecasting 12 1993 617-637
7. M. Clements J. Smith A Monte Carlo study of forecasting performance of empirical SETAR models Journal of Applied Econometrics 14 1999 123-142
8. Corradi, V., Swanson, N., 2001. Bootstrap conditional distribution tests under dynamic misspecification. Mimeo, Rutgers University.
9. V. Corradi N. Swanson A consistent test for nonlinear out of sample predictive accuracy Journal of Econometrics 110 2002 353-381
10. J. De Gooijer P. Bruin On forecasting SETAR processes Statistics and Probability Letters 37 1998 7-14
11. F. Diebold R. Mariano Comparing predictive accuracy Journal of Business and Economic Statistics 13 3 1995 253-263
12. M. Duhoux J. Suykens B. de Moor J. Vandewalle Improved long-term temperature prediction by chaining of neural networks International Journal of Neural Systems vol. 11 2001 World Scientific Publishing 1-10
13. J.L. Elman Finding structure in time Cognitive Science 14 1990 179-211
14. O. Eitrheim T. Teräsvirta Testing the adequacy of smooth transition autoregressive models Journal of Econometrics 74 1996 59-75
15. E. Fama M. Blume Filter rules and stock market trading profits Journal of Business 39 1966 226-241
16. F. Fernández D. García S. Sosvilla Dancing with bulls and bears: Nearest-neighbour forecast for the Nikkei index Japan and the World Economy 11 1999 395-413
17. F. Fernández S. Sosvilla J. Andrada Technical analysis in foreign exchange markets: Evidence from the EMS Applied Financial Economics 13 2003 113-122
18. R. Garciá R. Gençay Pricing and hedging derivative securities with neural networks and a homogeneity hint Journal of Econometrics 94 2000 93-115
19. R. Gençay Non-linear prediction of security return with moving average rules Journal of Forecasting 15 1996 165-174
20. R. Gençay T. Liu Nonlinear modeling and prediction with feedforward and recurrent networks Physica D 108 1997 119-134
21. C.W.J. Granger Forecasting stock market prices: Lessons for forecasters International Journal of Forecasting 8 1992 3-13
22. C.W.J. Granger T. Teräsvirta Modelling Nonlinear Economic Relationships 1993 Oxford University Press Oxford, UK
23. D. Harvey S. Leybourne P. Newbold Tests for forecast encompassing Journal of Business and Economic Statistics 16 1998 254-259
24. D. Harvey S. Leybourne P. Newbold Forecast evaluation tests in the presence of ARCH Journal of Forecasting 18 1999 435-445
25. M. Hinich D. Paterson Evidence of nonlinearity in stock returns Journal of Business and Economic Statistics 3 1985 69-77
26. K. Hornik M. Stinchcombe H. White Universal approximation of an unknown mapping and its derivatives using multilayer feedforward networks Neural Networks 3 1990 551-560
27. D. Hsieh Chaos and nonlinear dynamics: Applications to financial markets Journal of Finance 46 1991 1839-1878
28. C. Klimasauskas Applying Neural Networks: Part 3. Training a Neural Network, PC-AI, May-June 1991 20-24
29. C. Kuan H. White Artificial neural networks: An econometric perspective Econometric Reviews 13 1994 1-91
30. G. Leitch J. Tanner Economic forecast evaluation: Profits versus the conditional error measures American Economic Review 81 1991 580-590
31. S. Lundbergh T. Teräsvirta Forecasting with smooth transition autoregressive models In: M. Clements D. Hendry (Eds.), A Companion to Economic Forecasting 2002 Blackwell 485-509 Chapter 21
32. J. Pemberton Exact least squares multi-step prediction from nonlinear autoregressive models Journal of Time Series Analysis 8 1987 443-448
33. M.H. Pesaran P. Timmermann A simple nonparametric test of predictive performance Journal of Business and Economic Statistics 10 1992 461-465
34. S. Satchell A. Timmermann An assessment of the economic value of non-linear foreign exchange rate forecasts Journal of Forecasting 14 1995 477-497
35. J. Scheinkman B. LeBaron Nonlinear dynamics and stock returns Journal of Business 62 1989 311-338
36. W. Sharpe Mutual fund performance Journal of Finance 39 1966 119-138
37. N. Swanson H. White A model-selection approach to assessing the information in the term structure using linear models and artificial neural networks Journal of Business and Economic Statistics 13 3 1995 265-275
38. N.R. Swanson H. White Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models International Journal of Forecasting 13 1997 439-461
39. R.J. Sweeney Some new filter rule tests: Methods and results Journal of Financial and Quantitative Analysis 23 1988 285-300
40. T. Teräsvirta Specification, estimation and evaluation of smooth transition autoregressive models Journal of the American Statistical Association 89 1994 208-218
41. T. Teräsvirta D. Tjøstheim C.W.J. Granger Aspects of modelling nonlinear time series In: R.F. Engle D.L. McFadden (Eds.) Handbook of Econometrics vol. IV 1994 Elsevier 2919-2957
42. K. West Asymptotic inference about predictive ability Econometrica 64 1996 1067-1084
43. H. White Economic prediction using neural networks: The case of IBM daily stock returns Proceedings of the IEEE International Conference on Neural Networks, San Diego, CA 1988
44. H. White A reality check for data snooping Econometrica 68 2000 1097-1126