Journal article Open Access

Forecasting for Financial Stock Returns Using a Quantile Function Model

Yuzhi Cai


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{
  "inLanguage": {
    "alternateName": "eng", 
    "@type": "Language", 
    "name": "English"
  }, 
  "description": "In this talk, we introduce a newly developed quantile\nfunction model that can be used for estimating conditional\ndistributions of financial returns and for obtaining multi-step ahead\nout-of-sample predictive distributions of financial returns. Since we\nforecast the whole conditional distributions, any predictive quantity\nof interest about the future financial returns can be obtained simply\nas a by-product of the method. We also show an application of the\nmodel to the daily closing prices of Dow Jones Industrial Average\n(DJIA) series over the period from 2 January 2004 - 8 October 2010.\nWe obtained the predictive distributions up to 15 days ahead for\nthe DJIA returns, which were further compared with the actually\nobserved returns and those predicted from an AR-GARCH model.\nThe results show that the new model can capture the main features\nof financial returns and provide a better fitted model together with\nimproved mean forecasts compared with conventional methods. We\nhope this talk will help audience to see that this new model has the\npotential to be very useful in practice.", 
  "license": "https://creativecommons.org/licenses/by/4.0/legalcode", 
  "creator": [
    {
      "@type": "Person", 
      "name": "Yuzhi Cai"
    }
  ], 
  "headline": "Forecasting for Financial Stock Returns Using a Quantile Function Model", 
  "image": "https://zenodo.org/static/img/logos/zenodo-gradient-round.svg", 
  "datePublished": "2015-09-02", 
  "url": "https://zenodo.org/record/1109383", 
  "version": "10002644", 
  "keywords": [
    "DJIA", 
    "Financial returns", 
    "predictive distribution", 
    "quantile function model."
  ], 
  "@context": "https://schema.org/", 
  "identifier": "https://doi.org/10.5281/zenodo.1109383", 
  "@id": "https://doi.org/10.5281/zenodo.1109383", 
  "@type": "ScholarlyArticle", 
  "name": "Forecasting for Financial Stock Returns Using a Quantile Function Model"
}
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