publication . Other literature type . Article . 2015

Forecasting For Financial Stock Returns Using A Quantile Function Model

Yuzhi Cai;
Open Access English
  • Published: 02 Sep 2015
  • Publisher: Zenodo
  • Country: United Kingdom
Abstract
In this talk, we introduce a newly developed quantile function model that can be used for estimating conditional distributions of financial returns and for obtaining multi-step ahead out-of-sample predictive distributions of financial returns. Since we forecast the whole conditional distributions, any predictive quantity of interest about the future financial returns can be obtained simply as a by-product of the method. We also show an application of the model to the daily closing prices of Dow Jones Industrial Average (DJIA) series over the period from 2 January 2004 - 8 October 2010. We obtained the predictive distributions up to 15 days ahead for the DJIA ret...
Subjects
free text keywords: DJIA, Financial returns, predictive distribution, quantile function model.
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Other literature type . 2015
Provider: Datacite
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Article . 2015
Provider: ZENODO
Zenodo
Other literature type . 2015
Provider: Datacite
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