This paper examines daily return predictability for eighteen international stock index ETFs. The out-of-sample tests are conducted, based on linear and various popular nonlinear models and both statistical and economic criteria for model comparison. The main results show evidence of...

Using high frequency data, this paper first time comprehensively examines the intraday efficiency of four major energy (crude oil, heating oil, gasoline, natural gas) futures markets. In contrast to earlier studies which focus on in-sample evidence and assume linearity, the paper employs various...