Predicting Stock Returns with Bayesian Vector Autoregressive Models.
Wolfgang BesslerPeter LückoffPublished in: GfKl (2007)
Keyphrases
- autoregressive model
- stock returns
- stock market
- developed countries
- cross sectional
- panel data
- autoregressive
- stock price
- wavelet analysis
- feature vectors
- stock data
- financial time series
- wavelet domain
- financial markets
- wavelet decomposition
- cash flow
- developing countries
- multiresolution
- cross section
- data mining
- blood vessels
- short term
- image data
- feature extraction