Forecasting the Nikkei spot index with fractional cointegration

Journal of Forecasting

Volumn 18, Issue 4, 1999, Pages 259-273

  Lien, Donald ^a   Tse, Yiu Kuen ^b  

^a UNIVERSITY OF KANSAS   (United States)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Conditional heteroscedasticity; Error correction model; Fractionally integrated error correction model; Martingale; Nikkei stock average index; Vector autoregression

Indexed keywords

EID: 8744287701     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-131X(199907)18:4<259::AID-FOR723>3.0.CO;2-7     Document Type: Article

References (5)

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4. Shoesmith, G. L. 'Cointegration, error correction and improved regional VAR forecasting', Journal of Forecasting, 11 (1992), 91-109.
5. Tse, Y. K. 'Lead-lag relationship between spot index and futures price of the Nikkei stock average', Journal of Forecasting, 14 (1995), 553-563.