LINEAR VERSUS NON-LINEAR PREDICTABILITY OF EQUITY PRICES: AN EMPIRICAL INVESTIGATION
The analysis o f this study is twofold: 1) Using A non-linear test (the Hinich test), it provides evidence of non-linear dynamics in stock prices in the American market from January 1955 to December 2002. 2) Utilizing non-linear regression models, the Multiple Adaptive Regression Splines (MARS) and...
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| Format: | Article |
| Language: | English |
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People & Global Business Association (P&GBA)
2004-03-01
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| Series: | Global Business and Finance Review |
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| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150624134814-5IRPQ.pdf |