Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models

By D. McMillan. 2001

110 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. D. McMillan
2. Derya Avcı
3. Melek Acar Boyacioglu

In Finance

1. D. McMillan
2. Derya Avcı
3. Melek Acar Boyacioglu

Citations in the corpus

• Non‐linear Predictability of UK Stock Market Returns* (2003, methodology): “…(2000) who use neural network methods to examine the predictability of international stock returns, Perez-Quiros and Timmermann (2000) who employ a Markov switching model to predict returns in large and small US firms, and McMillan (2001) who examines threshold predictability of US index returns.”