English, Article edition: EXPLORING THE IMPACT OF CALENDAR EFFECTS ON THE DYNAMIC STRUCTURE AND FORECASTS OF FINANCIAL TIME SERIES CATHERINE KYRTSOU; ALEXANDROS LEONTITSIS; COSTAS SIRIOPOULOS

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Bookmark: http://trove.nla.gov.au/version/83280
Physical Description
  • article
Language
  • English

Edition details

Title
  • EXPLORING THE IMPACT OF CALENDAR EFFECTS ON THE DYNAMIC STRUCTURE AND FORECASTS OF FINANCIAL TIME SERIES
Author
  • CATHERINE KYRTSOU
  • ALEXANDROS LEONTITSIS
  • COSTAS SIRIOPOULOS
Physical Description
  • article
Notes
  • Several recently developed chaotic forecasting methods give better results than the random walk forecasts. However they do not take into account specific regularities of stock returns reported in empirical finance literature, such as the calendar effects. In this paper, we present a method for filtering the day-of-the-week and the holiday effect in a time series. Our main objective is twofold. On the one hand we study how the underlying dynamics of the Nasdaq Composite, and TSE 300 Composite returns series can be influenced by the presence of calendar effects. On the other hand we adapt our method to chaotic forecasting. Its computational advantages lead to significant improvements of forecasts.
  • Mackey-Glass-GARCH, calendar effects, forecasting
  • RePEc:wsi:ijtafx:v:09:y:2006:i:01:p:1-22
Language
  • English
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