create a website

Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions. (2013). Hammoudeh, Shawkat ; GUPTA, RANGAN ; Alvarez-Diaz, Marcos.
In: Working Papers.
RePEc:pre:wpaper:201385.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 40

References cited by this document

Cocites: 21

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Agnon, Y., A. G. and Shearer M. (1999). Nonparametric, nonlinear, short-term forecasting: theory and evidence for nonlinearities in the commodity markets, Economics Letters, 65, 293-299.

  2. Aparicio, T., Pozo E. and Saura D. (2002).The nearest neighbor method as a test for detecting complex dynamics in financial series. An empirical application. Applied Financial Economics, 12, 517-525.

  3. Barkoulas, J., Baum C. F., Chakraborty A. (2003). Nearest-neighbor forecasts of U.S. interest rates. International Journal of Banking and Finance, 1, 1, 119-135.

  4. Brock, W., Dechert D, Scheinkman J., and LeBaron B. (1996). A test for independence based on the correlation dimension. Econometric Reviews,15, 197–235 Brooks, C. (1996). Testing for non-linearity in daily sterling exchange rates, Applied Financial Economics, 6, 307-317 Casdagli, M. (1989). Nonlinear prediction of chaotic time series. Physica D, 35, 335– 356.
    Paper not yet in RePEc: Add citation now
  5. Casdagli, M. (1992). Chaos and deterministic versus stochastic nonlinear modelling, Journal of the Royal Statistical Society B, 54, 303-328.
    Paper not yet in RePEc: Add citation now
  6. Chen A.S.,Leung M. and Daouk H. (2003). Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index, Computers & Operations Research, 30, 6, 901-923.
    Paper not yet in RePEc: Add citation now
  7. Chen, Q. and Hong, Y. (2010). Predictability of equity returns over different time horizons: a nonparametric approach. Manuscript, Cornell University.
    Paper not yet in RePEc: Add citation now
  8. Cleveland, W. S. and Devlin, S. J. (1988). Locally weighted regression: An approach to regression analysis by local fitting, Journal of the American Statistical Association, 83: 596–610.
    Paper not yet in RePEc: Add citation now
  9. Dangl, T. and Halling, M. (2012). Predictive regressions with time-varying coefficients. Journal of Financial Economics, forthcoming.

  10. Darrat, A. F. and Zhong M. (2000). On testing the random-walk hypothesis: A modelcomparison approach, The Financial Review, 35, 105-124.

  11. Diebold, F. X. and Nason, J. A. (1990). Nonparametric exchange rate prediction?, Journal of International Economics, 28, 315-332.

  12. Elms, D. (1994). Forecasting in financial markets, in J. Creedy and V. L. Martin (eds.), Chaos and Non-Linear Models in Economics. Theory and Applications, 169-186.

  13. Fama, E.F. (1970). Efficient Capital Markets: a review of theory and empirical works. Journal of Finance, 25, 383-417.

  14. Farmer, D. and Siderowich J. (1987).Predicting chaotic time series, Physical Review Letters, 59, 845-848.
    Paper not yet in RePEc: Add citation now
  15. Fernández-Rodríguez, F., Sosvilla-Rivero S. and García Artiles M. (1999). Dancing with bulls and bears: Nearest neighbour forecast for the Nikkei index, Japan and the World Economy, 11, 395-413.
    Paper not yet in RePEc: Add citation now
  16. Franses, P. H. and van Griensven K. (1998). Forecasting exchange rates using neural networks for technical trading rules, Studies in Nonlinear Dynamics and Econometrics, 2, 4.

  17. Frieder, L. and Martell, S. (2006). Capital structure and the liquidity of a firm’s stocks, memo, Purdue University. Purdue, Indiana, US.
    Paper not yet in RePEc: Add citation now
  18. Guidolin, M., Hyde, S., McMillan, D., Ono, S. (2009). Non-linear predictability in stock and bond returns: When and where is it exploitable?, International Journal of Forecasting, 25(2), 373-399.

  19. Guidolin, M., Hyde, S., McMillan, D., Ono, S. (2010). Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? Comprehensive out-ofsample evidence, Working Papers 2010-039, Federal Reserve Bank of St. Louis.

  20. Guidolin, M., Timmermann, A. (2007). Asset allocation under multivariate regime switching. Journal of Economic Dynamics and Control 31, 3503–3544.

  21. Gupta, R., Hammoudeh, S., Simo-Kengne, B. D., Sarafrazi, S. (2013). Can the Shariabased Islamic stock market returns be forecasted using large number of predictors and models? Department of Economics, University of Pretoria, Working Paper No. 201381.

  22. Hammoudeh, S., Jawadi, F., Sarafrazi, S. (2013). Interactions between conventional and Islamic stock markets: a hybrid threshold analysis. Mimeo, Drexel University, PA, USA.
    Paper not yet in RePEc: Add citation now
  23. Hsieh, D. A. (1989). Testing for nonlinear dependence in daily foreign exchange rates, Journal of Business, 62, 329-368.

  24. Hsieh, D. A. (1991). Chaos and Nonlinear Dynamics: Application to Financial Markets.

  25. Hu, M. Y., ZhangG., Jiang C. X. and Patuwo B. E., (1999). A cross-validation analysis of neural network out-of-sample performance in exchange rate forecasting, Decision Sciences, 30, 1, 197-216.
    Paper not yet in RePEc: Add citation now
  26. Jaditz, T. and Riddick L. A. (2000). Time-series near-neighbor regression, Studies in Nonlinear Dynamics & Econometrics, 4, 1, 35-44.

  27. Kocenda, E. (2001). An alternative to the BDS test: Integration across the correlation integral, Econometric Reviews, 20, (3), 337-351.

  28. Lequarré, J. Y. (1993). Foreign currency dealing: a brief introduction. In N. A. Gershenfeld and A. S. Weigend (eds.), Time Series Prediction: Forecasting the Future and Understanding the Past. Reading, MA: Adison Wesley, 131-137.
    Paper not yet in RePEc: Add citation now
  29. Leung, M. T., Daouk H. and Chen A. S. (2000). Forecasting stock indices: a comparison of classification and level estimation models, International Journal of Forecasting, 16, 173-190.

  30. Lo, W. A. and MacKinlay A. C. (1998). Stock market prices do not follow random walks: Evidence from a simple specification test, The Review of Financial Studies,1, 1,41-66.
    Paper not yet in RePEc: Add citation now
  31. lvarez-Díaz, M. (2008). Exchange rates forecasting: local or global methods? Applied Economics, 40, 15, 1969-1984.

  32. lvarez-Díaz, M. and lvarez A. (2010). Forecasting exchange rates using local regression, Applied Economics Letters, 17, 509-514.

  33. Meese, R. A. and Rose A. K.(1991). An empirical assesment of non-linearities in models of exchange rate determination, Review of Economic Studies, 58, 3, 603619.
    Paper not yet in RePEc: Add citation now
  34. Sugihara, G. and May R. M. (1990). Nonlinear forecasting as a way of distinguishing chaos from measurement error in time series, Nature, 344, 734-741.
    Paper not yet in RePEc: Add citation now
  35. Tenti, P. (1996). Forecasting foreign exchange rates using recurrent neural networks, Applied Artificial Intelligence, 10, 567-581.
    Paper not yet in RePEc: Add citation now
  36. Theiler, J., S.. Eubank, Longtin, A.and Galdrikian, B. (1992). Testing for nonlinearity in time series: the method of surrogate data, Physica D, 58, 77-94.
    Paper not yet in RePEc: Add citation now
  37. Walzack, S. (2001). An empirical analysis of data requirements for financial forecasting with neural networks, Journal of Management Information Systems, 17, 4, 203-222.
    Paper not yet in RePEc: Add citation now
  38. Yakowitz, S. (1987). Nearest-neighbor methods for time series analysis. Journal of Time Series Análisis, 8, 235–247.
    Paper not yet in RePEc: Add citation now
  39. Yao, J. and C. L. Tan (2000). A case study on using neural networks to perform technical forecasting of Forex, Neurocomputing 34, 79-98.
    Paper not yet in RePEc: Add citation now
  40. Yao, J., C. L. Tan and H. L. Poh (1999). Neural networks for technical analysis: A study on KLCI, International Journal of Theoretical and Applied Finance, 2, 2, 221-241.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Bullish and Bearish Engulfing Japanese Candlestick patterns: A statistical analysis on the S&P 500 index. (2021). Jamaloodeen, Mohamed ; Pollacia, Lissa ; Saxena, Atul ; Heinz, Adrian.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:79:y:2021:i:c:p:221-244.

    Full description at Econpapers || Download paper

  2. Forecasting Costa Rican inflation with machine learning methods. (2020). Rodriguez Vargas, Adolfo ; Rodriguez-Vargas, Adolfo.
    In: Latin American Journal of Central Banking (previously Monetaria).
    RePEc:eee:lajcba:v:1:y:2020:i:1:s2666143820300120.

    Full description at Econpapers || Download paper

  3. Macroeconomic Forecasting in Times of Crises. (2017). Zhong, Molin ; Guerron, Pablo ; Guerron-Quintana, Pablo.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2017-18.

    Full description at Econpapers || Download paper

  4. Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques. (2016). Fabozzi, Frank ; Subbiah, Mohan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:45:y:2016:i:c:p:189-201.

    Full description at Econpapers || Download paper

  5. Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions. (2014). Hammoudeh, Shawkat ; GUPTA, RANGAN ; Alvarez-Diaz, Marcos.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:29:y:2014:i:c:p:22-35.

    Full description at Econpapers || Download paper

  6. Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions. (2013). Hammoudeh, Shawkat ; GUPTA, RANGAN ; Alvarez-Diaz, Marcos.
    In: Working Papers.
    RePEc:pre:wpaper:201385.

    Full description at Econpapers || Download paper

  7. Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets. (2013). Ledenyov, Dimitri.
    In: MPRA Paper.
    RePEc:pra:mprapa:49921.

    Full description at Econpapers || Download paper

  8. Forecasting Daily Air Arrivals in Mallorca Island Using Nearest Neighbour Methods. (2011). Daz, Marcos Lvarez ; Mateu-Sbert, Josep.
    In: Tourism Economics.
    RePEc:sae:toueco:v:17:y:2011:i:1:p:191-208.

    Full description at Econpapers || Download paper

  9. An out-of-sample test for nonlinearity in financial time series: An empirical application. (2010). Panagiotidis, Theodore.
    In: Discussion Paper Series.
    RePEc:mcd:mcddps:2010_08.

    Full description at Econpapers || Download paper

  10. An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application. (2010). Panagiotidis, Theodore.
    In: Computational Economics.
    RePEc:kap:compec:v:36:y:2010:i:2:p:121-132.

    Full description at Econpapers || Download paper

  11. Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding. (2010). Aparicio, Teresa ; Pozo, Eduardo F. ; Saura, Dulce.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:15:y:2010:i:1:n:al1.

    Full description at Econpapers || Download paper

  12. Forecasting histogram time series with k-nearest neighbours methods. (2009). Maté, Carlos ; Arroyo, Javier ; Mate, Carlos .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:1:p:192-207.

    Full description at Econpapers || Download paper

  13. Detecting determinism using recurrence quantification analysis: Three test procedures. (2008). Aparicio, Teresa ; Pozo, Eduardo F. ; Saura, Dulce.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:65:y:2008:i:3-4:p:768-787.

    Full description at Econpapers || Download paper

  14. Caracterización no lineal y predicción no paramétrica en el IBEX35/Nonlinear Characterization and Predictions of IBEX 35. (2007). Valderas Jaramillo, Juan Manuel ; Velasco, F. ; Olmedo, E..
    In: Estudios de Economia Aplicada.
    RePEc:lrk:eeaart:25_3_11.

    Full description at Econpapers || Download paper

  15. Commodity Price Fluctuations: A Century of Analysis. (2005). Labys, Walter.
    In: Working Papers.
    RePEc:rri:wpaper:2005wp01.

    Full description at Econpapers || Download paper

  16. Commodity Price Fluctuations: A Century of Analysis. (2005). Labys, Walter.
    In: Working Papers.
    RePEc:rri:wpaper:200501.

    Full description at Econpapers || Download paper

  17. Noisy chaotic dynamics in commodity markets. (2004). KYRTSOU, Catherine ; Labys, Walter C. ; Terraza, Michel.
    In: Empirical Economics.
    RePEc:spr:empeco:v:29:y:2004:i:3:p:489-502.

    Full description at Econpapers || Download paper

  18. New Directions in the Modeling and Forecasting of Commodity Markets. (2003). Labys, Walter C..
    In: Mondes en développement.
    RePEc:cai:meddbu:med_122_0003.

    Full description at Econpapers || Download paper

  19. Determinism in Financial Time Series. (2003). Tse, Chi ; Small, Michael.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:7:y:2003:i:3:n:5.

    Full description at Econpapers || Download paper

  20. Superior Forecasts of the U.S. Unemployment Rate Using a Nonparametric Method. (2002). Perloff, Jeffrey ; Golan, Amos.
    In: Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series.
    RePEc:cdl:agrebk:qt2bw559zk.

    Full description at Econpapers || Download paper

  21. Superior Forecasts of the U.S. Unemployment Rate Using a Nonparametric Method. (2002). Perloff, Jeffrey ; Golan, Amos.
    In: CUDARE Working Papers.
    RePEc:ags:ucbecw:25060.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 06:13:37 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.