Econometric forecasting of financial assets using non-linear smooth transition autoregressive models
MetadataShow full item record
Following the debate by empirical finance research on the presence of non-linear predictability in stock market returns, this study examines forecasting abilities of nonlinear STAR-type models. A non-linear model methodology is applied to daily returns of FTSE, S&P, DAX and Nikkei indices. The research is then extended to long-horizon forecastability of the four series including monthly returns and a buy-and-sell strategy for a three, six and twelve month holding period using non-linear error-correction framework. The recursive out-of-sample forecast is performed using the present value model equilibrium methodology, whereby stock returns are forecasted using macroeconomic variables, in particular the dividend yield and price-earnings ratio. The forecasting exercise revealed the presence of non-linear predictability for all data periods considered, and confirmed an improvement of predictability for long-horizon data. Finally, the present value model approach is applied to the housing market, whereby the house price returns are forecasted using a price-earnings ratio as a measure of fundamental levels of prices. Findings revealed that the UK housing market appears to be characterised with asymmetric non-linear dynamics, and a clear preference for the asymmetric ESTAR model in terms of forecasting accuracy.
Thesis, PhD Doctor of Philosophy
Items in the St Andrews Research Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Showing items related by title, author, creator and subject.
External cavity diode lasers and non-linear optical frequency conversion in spectroscopic applications Shah, Anjali (University of St Andrews, 2006-05) - ThesisSemiconductor diode lasers are successful tools in atomic spectroscopy. They are routinely used in frequency conversion applications to develop devices that access regions of the spectrum not directly available. This thesis ...
Meyer, Karen Alison (University of St Andrews, 2012-06-22) - ThesisThe magnetic carpet is defined to be the small-scale photospheric magnetic field of the quiet Sun. Observations of the magnetic carpet show it to be highly dynamic, where the time taken for all flux within the magnetic ...
A model of estrogen-related gene expression reveals non-linear effects in transcriptional response to tamoxifen Lebedeva, Galina; Yamaguchi, Azusa; Langdon, Simon P.; Macleod, Kenneth; Harrison, David J. (2012-11-08) - Journal articleBackground: Estrogen receptors alpha (ER) are implicated in many types of female cancers, and are the common target for anti-cancer therapy using selective estrogen receptor modulators (SERMs, such as tamoxifen). However, ...