Joint forecasts of Dow Jones stocks under general multivariate loss function

The Value Line Dow Jones Stock Evaluation Model: Is It Useful?

At the end of every year the Value Line (VL) Corporation publishes its forecasts of the Dow Jones Index and its probable ranges for the coming three years using a three explanatory variable multiple regression model that we call the Value Line Dow Jones (VL-DJ) model. The model is a static time series model. Therefore, forecasts of the Dow Jones Index rely on forecasts of the independent variab...

Estimation of the Multivariate Normal Mean under the Extended Reflected Normal Loss Function

Price reaction of ethically screened stocks : A study of the Dow Jones Islamic Market World Index

This paper investigates the short-term effects on the price of the ethically screened stocks of the Dow Jones Islamic Market World Index (DJIMWI) quarterly revisions. Using a sample of 8,250 stocks from May 1999 through June 2012, we find a significant price reaction of the ethically screened stocks following additions and deletions. The results show that additions (deletions) from emerging sto...

Comparison of Kullback-Leibler, Hellinger and LINEX with Quadratic Loss Function in Bayesian Dynamic Linear Models: Forecasting of Real Price of Oil

In this paper we intend to examine the application of Kullback-Leibler, Hellinger and LINEX loss function in Dynamic Linear Model using the real price of oil for 106 years of data from 1913 to 2018 concerning the asymmetric problem in filtering and forecasting. We use DLM form of the basic Hoteling Model under Quadratic loss function, Kullback-Leibler, Hellinger and LINEX trying to address the ...

Inverse Statistics for Stocks and Markets

In recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1, 2, 3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This is the distribution of waiting times needed to achieve a predefined level of return obtained from detrended historic asset prices. Such a distribution typ...