Forecasting Trends in Prices

Stephen J. Taylor
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Stephen J. Taylor: Lancaster University, UK

Chapter 7 in Modelling Financial Time Series, 2007, pp 174-195 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONPRICE-TREND MODELSA non-linear trend modelA linear trend modelESTIMATING THE TREND PARAMETERSMethodsFuturesspotsAccuracySOME RESULTS FROM SIMULATIONSEstimatesA puzzle solvedFORECASTING RETURNS: THEORETICAL RESULTSThe next returnMore distant returnsSums of future returnsEMPIRICAL FORECASTING RESULTSBenchmark forecastsPrice-trend forecastsSummary statisticsFuturesspotsFURTHER FORECASTING THEORYExpected changes in pricesForecasting the direction of the trendForecasting pricesSUMMARY

Keywords: ARCH Models; Exchange Rates; Forecasting; Stock Markets; Time Series; Volatility (search for similar items in EconPapers)
Date: 2007
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