SPLINE REGRESSION AND RESEARCH OF CAPITAL MARKET UNDER FINANCIAL CRISES IMPACT

Liviu Geambaşu () and Ion Stancu

Theoretical and Applied Economics, 2011, vol. 5(558)(supplement), issue 5(558)(supplement), 278-286

Abstract: Identifying mathematical and statistical models which to insure a theoretical evaluation closer to empirical data observed represents an important preoccupation for both theoretical and practical professionals in the financial field. Over time there were elaborated models which forecast the evolution of markets and also to explain the past evolutions. The present paper intends to describe the spline regressions as simple solutions for explaining the historical values and for forecast the future ones. The spline regressions are relative easily to develop and manage if compared to complex models developed over time, offering explanatory and forecasting results superior to simple regressions.

Keywords: assets return; spline regression; market model; subsets of data; standard deviation of errors. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:5(558)(supplement):y:2011:i:5(558)(supplement):p:278-286

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