Predicting Stock Returns in the Capital Asset Pricing Model Using Quantile Regression and Belief Functions.
Kittawit AutchariyapanitkulSomsak ChanaimSongsak SriboonchittaThierry DenoeuxPublished in: Belief Functions (2014)
Keyphrases
- belief functions
- pricing model
- stock returns
- quantile regression
- stock price
- financial markets
- stock market
- cross validated
- least squares
- financial time series
- real option
- non stationary
- stock exchange
- exchange rate
- dynamic pricing
- neural network
- cross validation
- financial data
- empirical analysis
- early warning
- historical data
- news articles
- short term
- wavelet transform
- feature extraction