کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7412798 1481744 2018 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Forecasting performance of smooth transition autoregressive (STAR) model on travel and leisure stock index
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی تامین مالی
پیش نمایش صفحه اول مقاله
Forecasting performance of smooth transition autoregressive (STAR) model on travel and leisure stock index
چکیده انگلیسی
Travel and leisure recorded a consecutive robust growth and become among the fastest economic sectors in the world. Various forecasting models are proposed by researchers that serve as an early recommendation for investors and policy makers. Numerous studies proposed distinct forecasting models to predict the dynamics of this sector and provide early recommendation for investors and policy makers. In this paper, we compare the performance of smooth transition autoregressive (STAR) and linear autoregressive (AR) models using monthly returns of Turkey and FTSE travel and leisure index from April 1997 to August 2016. MSCI world index used as a proxy of the overall market. The result shows that nonlinear LSTAR model cannot improve the out-of-sample forecast of linear AR model. This finding demonstrates little to be gained from using LSTAR model in the prediction of travel and leisure stock index.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Journal of Finance and Data Science - Volume 4, Issue 2, June 2018, Pages 90-100
نویسندگان
, , ,