Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008
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The objective of our paper is to perform a systematic evaluation of whether, when, and where non-linear
econometric models … series under investigation displays strong departures from normality.
3. The Forecasting Models
Although most the econometric … models employed in this paper to forecast asset returns have already been
largely investigated (usually on a one-by-one basis …