Survey data as coincident or leading indicators
نویسندگان
چکیده
منابع مشابه
Coincident and leading indicators of the stock market
In this paper we have two goals: first, we want to represent monthly stock market fluctuations by constructing a non-linear coincident financial indicator. The indicator is constructed as an unobservable factor whose first moment and conditional volatility are driven by a two-state Markov variable. It can be interpreted as the investors’ real-time belief about the state of financial conditions....
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2010
ISSN: 0277-6693,1099-131X
DOI: 10.1002/for.1142