The appropriate forecasting models and dependence measurement: Real estate sector stock and Shenzhen index in People’s Republic of China

Lili Zhou (), Kanchana Chokethaworn, Chukiat Chaiboonsri and Prasert Chaitip
Additional contact information
Lili Zhou: Chiang Mai University
Kanchana Chokethaworn: Chiang Mai University
Chukiat Chaiboonsri: Chiang Mai University

The Empirical Econometrics and Quantitative Economics Letters, 2012, vol. 1, issue 3, 77-92

Abstract: This paper mainly has two purposes. On the one hand, it aims to find the appropriate models for forecasting the Real Estate Sector Stock and Shenzhen Index in People’s Republic of China, respectively. On the other hand, this paper will analyze the dependence measures between these two kinds of stock indexes in China. The linear method and nonlinear method was introduced for seeking the appropriate models for each stock index. And the empirical copula method was implied to examine the dependence measures between these two indexes. The results are: Firstly, the Autoregressive-linear model (AR-linear Model) fits for forecasting the Real Estate Sector Stock and Shenzhen Index over the period of 2006 to 2012. Secondly, based on the empirical copula approach, the dependence measures between returns in percentage of Real Estate Sector Stock and Shenzhen Index is very strong.

Keywords: Linear; Nonlinear; Copulas; Exchange Rate; Forecasting; Dependence (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.jyoungeconomist.com/images/stories/EEQE ... 092_Zhou_etal(1).pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chi:journl:v:1:y:2012:i:3:p:77-92

Access Statistics for this article

The Empirical Econometrics and Quantitative Economics Letters is currently edited by Komsan Suriya

More articles in The Empirical Econometrics and Quantitative Economics Letters from Faculty of Economics, Chiang Mai University Contact information at EDIRC.
Bibliographic data for series maintained by Komsan Suriya ().