Forecasting the Nikkei Spot Index with Fractional Cointegration

• Main Authors: TSE, Yiu Kuen, Lien, Donald
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1999
• Subjects: Asian Studies; Econometrics; Finance
• Online Access: https://ink.library.smu.edu.sg/soe_research/261
• Institution: Singapore Management University

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...