Forecasting the Nikkei Spot Index with fractional cointegration
Article Abstract:
A study was conducted to investigate the forecasting performance of the statistical, fractionally integrated error correction model as against a number of other models to predict Nikkei spot index and futures prices. It was found that fractional cointegration does not enhance predictive performance when conditional heteroscedasticity is ignored. In point of fact, the vector autoregression model provides the best forecast performance.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1999
User Contributions:
Comment about this article or add new information about this topic:
Lead-lag relationship between spot index and futures prices of the Nikkei Stock Average
Article Abstract:
A study was conducted on the lead-lag relationship between the spot index and futures price of the Nikkei Stock Average. An error correction model was used to analyze the interaction in the post-crash period. Results showed that lagged changes in the futures price influence short-term spot index adjustment.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
Local to unity, long-horizon forecasting thresholds for model selection in the AR(1)
Article Abstract:
A method for analyzing the long-range forecasting of an unrestricted AR(1) model is discussed. The model uses ordinary least squares and random walk.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2004
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Forecasting time series with outliers. Optimal prediction with nonstationary ARFIMA model. A semi-parametric time-series approach in modeling hourly electricity loads
- Abstracts: Modelling and forecasting time series with a general non-normal distribution. Forecasting with k-factor Gegenbauer processes: theory and applications
- Abstracts: Intratemporal substitution and government spending. What is fractional integration?
- Abstracts: The growing reluctance to borrow at the discount window: an empirical investigation. Estimating the effect of racial discrimination on first job wage offers
- Abstracts: The duration of Medicaid spells: an analysis using flow and stock samples. Child care subsidies, quality of care, and the labor supply of low-income, single mothers