Non-linear forecasting of financial time series: An overview and some new models

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Article ID:	iaor1997791
Country:	United Kingdom
Volume:	15
Issue:	3
Start Page Number:	127
End Page Number:	135
Publication Date:	Apr 1996
Journal:	International Journal of Forecasting
Authors:	Mills Terence C.
Keywords:	finance & banking

Abstract:

This paper provides an overview of the papers contained in this Special Issue of the Journal of Forecasting and also discusses some new models for analysing financial time series that have recently been proposed. These are illustrated by empirical examples using 60 years of daily data on the London Stock Exchange’s FT30 index.

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