Forecasting financial markets

목차 (Table of Contents)

• [Volume. 1]----------
• CONTENTS
• Acknowledgements = ⅸ
• Introduction / Terence C. Mills = xi
• PART Ⅰ EARLY ATTEMPTS
• 1. Alfred Cowles(1944), 'Stock Market Forecasting', Econometrica, 12(3 & 4), July-October, 206-14 = 3
• 2. Holbrook Working(1934), 'A Random-Difference Series for Use in the Analysis of Time Series', Journal of the American Statistical Association, XXIX(185), March, 11-24 = 12
• 3. M. G. Kendall(1953), 'The Analysis of Economic Time Series - Part 1 : Prices', Journal of the Royal Statistical Society, Series A, CXVI (1), 11-25 = 26
• 4. M.F.M. Osborne(1962), 'Periodic Structure in the Brownian Motion of Stock Prices', Operations Research, 10(3), May-June, 345-79 = 41
• 5. Sidney S. Alexander(1964), 'Price Movements in Speculative Markets : Trends or Random Walks, Number 2', Industrial Management Review, 5(2), Spring, 25-46 = 76
• PART Ⅱ THEORETICAL UNDERPINNINGS
• 6. Benoit Mandelbrot(1966), 'Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models', Journal of Business, 39(1, Part 2), January, 242-55 = 101
• 7. Paul A. Samuelson(1973), 'Proof That Properly Discounted Present Values of Assets Vibrate Randomly', Bell Journal of Economics and Management Science, 4(2), Autumn, 369-74 = 115
• 8. Stephen F. LeRoy(1989), 'Efficient Capital Markets and Martingales', Journal of Economic Literature, XXVII(4), December, 1583-621 = 121
• PART Ⅲ TESTING THE RANDOM WALK MODEL
• 9. Victor Niederhoffer and M.F.M. Osborne(1966), 'Market Making and Reversal on the Stock Exchange', Journal of the American Statistical Association, 61(316), December, 897-916 = 163
• 10. Michael D. Godfrey, Clive W.J. Granger and Oskar Morgenstern(1964), 'The Random-Walk Hypothesis of Stock Market Behavior', Kyklos, XVII(1), 1-29 = 183
• 11. Stephen J. Taylor(1980), 'Conjectured Models for Trends in Financial Prices, Tests and Forecasts', Journal of the Royal Statistical Society, Series A, 143(3), 338-62 = 212
• 12. Matthew Richardson and James H. Stock(1989), 'Drawing Inferences from Statistics Based on Multiyear Asset Returns', Journal of Financial Economics, 25, 323-48 = 237
• PART Ⅳ STOCK MARKETS
• 13. Eugene F. Fama(1972), 'Components of Investment Performance', Journal of Finance, XXVII(3), June, 551-67 = 265
• 14. Robert C. Merton(1981), 'On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts', Journal of Business, 54(3), July, 363-406 = 282
• 15. Roy D. Henriksson and Robert C. Merton(1981), 'On Market Timing and Investment Performance. Ⅱ. Statistical Procedures for Evaluating Forecasting Skills', Journal of Business, 54(4), October, 513-33 = 326
• 16. Cheng-few Lee and Shafiqur Rahman(1990), 'Market Timing, Selectivity, and Mutual Fund Performance : An Empirical Investigation', Journal of Business, 63(2), April, 261-78 = 347
• 17. William Breen, Lawrence R. Glosten and Ravi Jagannathan(1989), 'Economic Significance of Predictable Variations in Stock Index Returns', Journal of Finance, XLIV(5), December, 1177-89 = 365
• 18. Wayne E. Ferson and Robert A. Korajczyk(1995), 'Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?', Journal of Business, 68(3), July, 309-49 = 378
• 19. Shmuel Kandel and Robert F. Stambaugh(1996), 'On the Predictability of Stock Returns : An Asset-Allocation Perspective', Journal of Finance, LI(2), June, 385-424 = 419
• 20. M. Hashem Pesaran and Allan Timmermann(1995), 'Predictability of Stock Returns : Robustness and Economic Significance', Journal of Finance, L(4), September, 1201-28 = 459
• 21. M. Hashem Pesaran and Allan Timmermann(2000), 'A Recursive Modelling Approach to Predicting UK Stock Returns', Economic Journal, 110(460), January, 159-91 = 487
• PART Ⅴ FOREIGN EXCHANGE MARKETS
• 22. Alan C. Stockman(1987), 'Economic Theory and Exchange Rate Forecasts', International Journal of Forecasting, 3(1), 3-15 = 523
• 23. Paul Boothe and Debra Glassman(1987), 'Comparing Exchange Rate Forecasting Models : Accuracy versus Profitability', International Journal of Forecasting, 3(1), 65-79 = 536
• 24. Charles Goodhart(1988), 'The Foreign Exchange Market : A Random Walk with a Dragging Anchor', Economica, 55, November, 437-60 = 551
• 25. Ronald MacDonald and Mark P. Taylor(1993), 'The Monetary Approach to the Exchange Rate : Rational Expectations, Long-Run Equilibrium, and Forecasting', IMF Staff Papers, 40(1), March, 89-107 = 575
• 26. Nelson C. Mark(1995), 'Exchange Rates and Fundamentals : Evidence on Long-Horizon Predictability', American Economic Review, 85(1), March, 201-18 = 594
• Name Index = 613
• [Volume. 2]----------
• CONTENTS
• Acknowledgements = ⅸ
• PART Ⅰ OTHER FINANCIAL MARKETS
• 1. Donald B. Keim and Robert F. Stambaugh(1986), 'Predicting Returns in the Stock and Bond Markets', Journal of Financial Economics, 17(2), December, 357-90 = 3
• 2. Andrew W. Lo and A. Craig MacKinlay(1997), 'Maximizing Predictability in the Stock and Bond Markets', Macroeconomic Dynamics, 1(1), 102-34 = 37
• 3. Hendrik Bessembinder and Kalok Chan(1992), 'Time-varying Risk Premia and Forecastable Returns in Futures Markets', Journal of Financial Economics, 32(2), 169-93 = 70
• 4. Alvaro Escribano and Clive W. J. Granger(1998), 'Investigating the Relationship between Gold and Silver Prices', Journal of Forecasting, 17(2), March, 81-107 = 95
• PART Ⅱ VOLATILITY FORECASTING
• 5. Stephen J. Taylor(1987), 'Forecasting the Volatility of Currency Exchange Rates', International Journal of Forecasting, 3(1), 159-70 = 125
• 6. Philippe Jorion(1995), 'Predicting Volatility in the Foreign Exchange Market', Journal of Finance, L(2), June, 507-28 = 137
• 7. Torben G. Andersen and Tim Bollerslev(1998), 'Answering the Skeptics : Yes, Standard Volatility Models do Provide Accurate Forecasts', International Economic Review, 39(4), November, 885-905 = 159
• 8. James W. Taylor(1999), 'Evaluating Volatility and Interval Forecasts', Journal of Forecasting, 18(2), March, 111-28 = 180
• PART Ⅲ LONG MEMORY, DENSITY FORECASTS AND FORECASTING EXTREME EVENTS
• 9. Benoit Mandelbrot(1963), 'New Methods in Statistical Economics', Journal of Political Economy, LXXI(5), October, 421-40 = 201
• 10. Andrew W. Lo(1997), 'Fat Tails, Long Memory, and the Stock Market Since the 1960's', Economic Notes, 26(2), 213-46 = 221
• 11. Dennis W. Jansen and Casper G. de Vries(1991), 'On the Frequency of Large Stock Returns : Putting Booms and Busts into Perspective', Review of Economics and Statistics, 73(1), February, 18-24 = 255
• 12. Francis X. Diebold, Jinyong Hahn and Anthony S. Tay(1999), 'Multivariate Density Forecast Evaluation and Calibration in Financial Risk Management : High-Frequency Returns on Foreign Exchange', Review of Economics and Statistics, 81(4), November, 661-73 = 262
• PART Ⅳ FORECASTING USING NONLINEAR MODELS
• 13. Francis X. Diebold and James A. Nason(1990), 'Nonparametric Exchange Rate Prediction?', Journal of International Economics, 28, 315-32 = 277
• 14. Charles Engel(1994), 'Can the Markov Switching Model Forecast Exchange Rates?', Journal of International Economics, 36, 151-65 = 295
• 15. Blake LeBaron(1994), 'Chaos and Nonlinear Forecastability in Economics and Finance', Philosophical Transactions of the Royal Society of London, Series A, 348, 397-404 = 310
• 16. Stephen J. Brown, William N. Goetzmann and Alok Kumar(1998), 'The Dow Theory : William Peter Hamilton's Track Record Reconsidered', Journal of Finance, LIII (4), August, 1311-33 = 318
• 17. Min Qi and G.S. Maddala(1999), 'Economic Factors and the Stock Market : A New Perspective', Journal of Forecasting, 18(3), May, 151-66 = 341
• 18. Clive W.J. Granger and Chor-Yiu Sin(2000), 'Modelling the Absolute Returns of Different Stock Indices : Exploring the Forecastability of an Alternative Measure of Risk', Journal of Forecasting, 19(4), July, 277-98 = 357
• PART Ⅴ TRADING RULES AND TECHNICAL ANALYSIS
• 19. Salih N. Neft$$\cedil c$$i(1991), 'Na$$\ddot i$$ve Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory : A Study of "Technical Analysis"', Journal of Business, 64(4), October, 549-71 = 381
• 20. William Brock, Josef Lakonishok and Blake LeBaron(1992), 'Simple Technical Trading Rules and the Stochastic Properties of Stock Returns', Journal of Finance, XLVII(5), December, 1731-64 = 404
• 21. Mark P. Taylor and Helen Allen(1992), 'The Use of Technical Analysis in the Foreign Exchange Market', Journal of International Money and Finance, 11(3), June, 304-14 = 438
• 22. Richard M. Levich and Lee R. Thomas, Ⅲ(1993), 'The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market : A Bootstrap Approach', Journal of International Money and Finance, 12(5), October, 451-74 = 449
• 23. Ramazan Gen$$\cedil c$$ay(1998), 'The Predictability of Security Returns with Simple Technical Trading Rules', Journal of Empirical Finance, 5(4), October, 347-59 = 473
• 24. Andrew W. Lo, Harry Mamaysky and Jiang Wang(2000), 'Foundations of Technical Analysis : Computational Algorithms, Statistical Inference, and Empirical Implementation', Journal of Finance, LV(4), August, 1705-65 = 486
• PART Ⅵ HIGH FREQUENCY FORECASTING
• 25. C.A.E. Goodhart and M. Giugale(1993), 'From Hour to Hour in the Foreign Exchange Market', Manchester School, LXI(1), March, 1-34 = 549
• 26. Timothy Falcon Crack and Olivier Ledoit(1996), 'Robust Structure Without Predictability : The "Compass Rose" Pattern of the Stock Market', Journal of Finance, LI(2), June, 751-62 = 583
• 27. Robert F. Engle and Jeffrey R. Russell(1997), 'Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model', Journal of Empirical Finance, 4(2-3), June, 187-212 = 595
• Name Index = 621