Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.
Peter F. ChristoffersenFrancis X. DieboldPublished in: Manag. Sci. (2006)
Keyphrases
- financial markets
- stock market
- exchange rate
- stock price
- stock index
- dow jones
- financial time series
- garch model
- foreign exchange
- stock index futures
- sharpe ratio
- short term
- financial crisis
- financial data
- early warning
- trading strategies
- trading systems
- long term
- grey model
- non stationary
- dynamical systems
- stock exchange
- portfolio selection
- stock returns
- weather forecasting
- neural network
- financial forecasting
- turning points
- dynamic model
- decision making