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Predicting the returns of the US real estate investment trust market : evidence from the group method of data handling neural network

Zhang, Wendi; Li, Bin; Liew, Alan Wee-Chung; Roca, Eduardo - In: Financial innovation : FIN 9 (2023) 1, pp. 1-33

Purpose: The Group Method of Data Handling (GMDH) neural network has demonstrated good performance in data mining, prediction, and optimization. Scholars have used it to forecast stock and real estate investment trust (REIT) returns in some countries and region, but not in the United States (US)...

Persistent link: https://www.econbiz.de/10014363989

Stock return predictability in South Africa : the role of major developed markets

Wen, Yi-Chieh; Lin, Philip T.; Li, Bin; Roca, Eduardo - In: Finance research letters 15 (2015), pp. 257-265

Persistent link: https://www.econbiz.de/10011553256

Which way does water flow? : an econometric analysis of the global price integration of water stocks

Roca, Eduardo; Tularam, Gurudeo Anand - In: Applied economics 44 (2012) 22/24, pp. 2935-2944

Persistent link: https://www.econbiz.de/10009616393

How globally contagious was the recent US real estate market crisis? : evidence based on a new contagion test

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Economic modelling 28 (2011) 6, pp. 2560-2565

Persistent link: https://www.econbiz.de/10009512505

Bootstrap causality tests of the relationship between the equity markets of the US and other developed countries : pre- and post-September 11

Hatemi-J, Abdulnasser; Roca, Eduardo; Buncic, Daniel - In: The journal of applied business research 22 (2006) 3, pp. 65-74

Persistent link: https://www.econbiz.de/10003358855

Estimating banks' equity duration : a panel cointegration approach

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied financial economics 18 (2008) 13/15, pp. 1173-1180

Persistent link: https://www.econbiz.de/10003760234

A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Economic modelling 23 (2006) 6, pp. 993-1007

Persistent link: https://www.econbiz.de/10003387615

Equity market price interdependence based on bootstrap causality tests : evidence from Australia and its major trading partners

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied financial economics 17 (2007) 10/12, pp. 827-835

Persistent link: https://www.econbiz.de/10003537981

US equity market spill-over and contagion effects on selected Asian market vis-à-Vis September 11

Hatemi-J, Abdulnasser; Roca, Eduardo; Tang, Fang - In: Economia internazionale 58 (2005) 4, pp. 449-470

Persistent link: https://www.econbiz.de/10003267072

Spillovers and directional predictability with a cross-quantilogram analysis : the case of U.S. and Chinese agricultural futures

Jiang, Huayun; Su, Jen-je; Todorova, Neda; Roca, Eduardo - In: The journal of futures markets 36 (2016) 12, pp. 1231-1255

Persistent link: https://www.econbiz.de/10011665641