Calendar Corrected Chaotic Forecast of Financial Time Series (Calendar)
International Journal of Business 2006, Fall, 11, 4
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Publisher Description
ABSTRACT Using daily returns from the NASDAQ Composite and TSE 300 Composite indices from 1984 to 2003, we specify a method that corrects the chaotic forecasting of financial time series taking into account the day-of-the-week, the turn-of-the-month and the holiday effects. When calendar effects are present in the series, the forecasting ability of the model leads to profitable opportunities compared to a buy-and-hold strategy.
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