Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/9693
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dc.contributor.authorCaporale, GM-
dc.contributor.authorCunado, J-
dc.contributor.authorGil-Alana, LA-
dc.date.accessioned2015-01-12T12:27:26Z-
dc.date.available9999-
dc.date.available2015-01-12T12:27:26Z-
dc.date.issued2011-
dc.identifier.citationAmerican Journal of Economics and Business Administration, 3(4): 586, (October 2011)en_US
dc.identifier.issn1945-5488-
dc.identifier.urihttp://connection.ebscohost.com/c/articles/71793962/forecasting-spanish-stock-market-returns-fractional-non-fractional-models-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/9693-
dc.description.abstractThis note assesses the forecasting accuracy of various models of the Spanish stock market returns. We use daily data on the IBEX 35 for the time period January 4th, 2001 - March 28th, 2006, and employ both fractional and non-fractional models. Prediction errors for the out-of-sample forecasts indicate that the fractional models outperform the non-fractional ones. Standard forecasting criteria suggest that the ARFIMA(1, d, 0) model with d = -0.017 and the AR(1) coefficient equal to 0.068 is the best specification for this series.en_US
dc.language.isoenen_US
dc.publisherScience Publicationsen_US
dc.subjectFractional integrationen_US
dc.subjectStock market returnsen_US
dc.titleForecasting the Spanish stock market returns with fractional and non-fractional modelsen_US
dc.typeArticleen_US
dc.relation.isPartOfAmerican Journal of Economics and Business Administration-
dc.relation.isPartOfAmerican Journal of Economics and Business Administration-
pubs.volumeForthcoming-
pubs.volumeForthcoming-
pubs.organisational-data/Brunel-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance-
pubs.organisational-data/Brunel/University Research Centres and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies-
Appears in Collections:Dept of Economics and Finance Research Papers

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