Forecasting the Nikkei Spot Index with Fractional Cointegration

The forecast performance of the fractionally integrated error correction model is investigated against several competing models for the prediction of the Nikkei stock average index. The competing models include the martingale model, the vector autoregressive model and the conventional error correcti...

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Bibliographic Details
Main Authors: TSE, Yiu Kuen, Lien, Donald
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1999
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Online Access:https://ink.library.smu.edu.sg/soe_research/261
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Institution: Singapore Management University
Language: English