| Article ID: | iaor19981731 |
| Country: | Netherlands |
| Volume: | 85 |
| Issue: | 1 |
| Start Page Number: | 111 |
| End Page Number: | 131 |
| Publication Date: | Aug 1995 |
| Journal: | European Journal of Operational Research |
| Authors: | Ostermark R., Hernesniemi H. |
| Keywords: | forecasting: applications |
The objective of this study is to measure the influence of the freshness of information on the ability of an investor to forecast a stock index and the stock index future. The study uses data on the Finnish FOX index, depicting price movements of the Helsinki Stock Exchange, and the FOX futures index. We generate a set of representative VARMAX-models and retain the one that minimizes a weighted sum of Akaike's AIC-criterion and the SR-criterion of Schwartz-Rissanen.