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Forecasting for Financial Stock Returns Using a Quantile Function Model

Yuzhi Cai Orcid Logo

World Academy of Science, Engineering and Technology, Volume: 9, Issue: 9, Pages: 753 - 756

Swansea University Author: Yuzhi Cai Orcid Logo

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DOI (Published version): 10.5281/zenodo.1109383

Abstract

We introduce a newly developed quantilefunction model that can be used for estimating conditionaldistributions of financial returns and for obtaining multi-step aheadout-of-sample predictive distributions of financial returns. Since weforecast the whole conditional distributions, any predictive quan...

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Published in: World Academy of Science, Engineering and Technology
Published: 2015
Online Access: https://zenodo.org/record/1109383#.XZHyWkZKiBY
URI: https://cronfa.swan.ac.uk/Record/cronfa24734
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first_indexed 2015-11-26T01:57:58Z
last_indexed 2019-09-30T13:34:17Z
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spelling 2019-09-30T13:18:46.1086852 v2 24734 2015-11-25 Forecasting for Financial Stock Returns Using a Quantile Function Model eff7b8626ab4cc6428eef52516fda7d6 0000-0003-3509-9787 Yuzhi Cai Yuzhi Cai true false 2015-11-25 BAF We introduce a newly developed quantilefunction model that can be used for estimating conditionaldistributions of financial returns and for obtaining multi-step aheadout-of-sample predictive distributions of financial returns. Since weforecast the whole conditional distributions, any predictive quantityof interest about the future financial returns can be obtained simplyas a by-product of the method. We also show an application of themodel to the daily closing prices of Dow Jones Industrial Average(DJIA) series over the period from 2 January 2004 - 8 October 2010.We obtained the predictive distributions up to 15 days ahead forthe DJIA returns, which were further compared with the actuallyobserved returns and those predicted from an AR-GARCH model.The results show that the new model can capture the main featuresof financial returns and provide a better fitted model together withimproved mean forecasts compared with conventional methods. Wehope this talk will help audience to see that this new model has thepotential to be very useful in practice Journal Article World Academy of Science, Engineering and Technology 9 9 753 756 DJIA, Financial returns, predictive distribution, 31 10 2015 2015-10-31 10.5281/zenodo.1109383 https://zenodo.org/record/1109383#.XZHyWkZKiBY COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2019-09-30T13:18:46.1086852 2015-11-25T09:53:29.3354207 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Yuzhi Cai 0000-0003-3509-9787 1
title Forecasting for Financial Stock Returns Using a Quantile Function Model
spellingShingle Forecasting for Financial Stock Returns Using a Quantile Function Model
Yuzhi Cai
title_short Forecasting for Financial Stock Returns Using a Quantile Function Model
title_full Forecasting for Financial Stock Returns Using a Quantile Function Model
title_fullStr Forecasting for Financial Stock Returns Using a Quantile Function Model
title_full_unstemmed Forecasting for Financial Stock Returns Using a Quantile Function Model
title_sort Forecasting for Financial Stock Returns Using a Quantile Function Model
author_id_str_mv eff7b8626ab4cc6428eef52516fda7d6
author_id_fullname_str_mv eff7b8626ab4cc6428eef52516fda7d6_***_Yuzhi Cai
author Yuzhi Cai
author2 Yuzhi Cai
format Journal article
container_title World Academy of Science, Engineering and Technology
container_volume 9
container_issue 9
container_start_page 753
publishDate 2015
institution Swansea University
doi_str_mv 10.5281/zenodo.1109383
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url https://zenodo.org/record/1109383#.XZHyWkZKiBY
document_store_str 0
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description We introduce a newly developed quantilefunction model that can be used for estimating conditionaldistributions of financial returns and for obtaining multi-step aheadout-of-sample predictive distributions of financial returns. Since weforecast the whole conditional distributions, any predictive quantityof interest about the future financial returns can be obtained simplyas a by-product of the method. We also show an application of themodel to the daily closing prices of Dow Jones Industrial Average(DJIA) series over the period from 2 January 2004 - 8 October 2010.We obtained the predictive distributions up to 15 days ahead forthe DJIA returns, which were further compared with the actuallyobserved returns and those predicted from an AR-GARCH model.The results show that the new model can capture the main featuresof financial returns and provide a better fitted model together withimproved mean forecasts compared with conventional methods. Wehope this talk will help audience to see that this new model has thepotential to be very useful in practice
published_date 2015-10-31T03:29:58Z
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score 10.928106