search query: @freeterm Markov switching / total: 5
reference: 4 / 5
| Author: | Chauvet, M. Potter, S. |
| Title: | Coincident and leading indicators of the stock market |
| Journal: | Journal of Empirical Finance
2000 : MAY, VOL. 7:1, p. 87-111 |
| Index terms: | Stock markets Risk |
| Freeterms: | Markov switching |
| Language: | eng |
| Abstract: | This paper has 2 goals: Firstly, to represent monthly stock market fluctuations by constructing non-linear coincident financial indicator. Secondly, to explore an approach in which investors may use their perceptions of the state of the economy to form forecasts of financial market conditions and possibly of excess returns. To investigate this, leading indicators are built as forecasts of the estimated coincident financial index. The leading indicators yield better within and out-of-sample performance in forecasting, not only the state of the stock market but also of excess stock returns, as compared with the performance obtained using linear methods that have been proposed in the existing literature. |
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