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College of Business(경영대학)Graduate School of Finance(금융전문대학원)KGSF-Journal Papers(저널논문)

Performance of a Nonparametric Multivariate Nearest Neighbor Model in the Prediction of Stock Index Returns

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dc.contributor.authorKim, Tong Sukko
dc.contributor.authorYoon, Jong Hunko
dc.contributor.authorLee, Hoe Kyungko
dc.date.accessioned2008-07-24T06:10:52Z-
dc.date.available2008-07-24T06:10:52Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2002-03-
dc.identifier.citationASIA PACIFIC MANAGEMENT REVIEW, v.7, no.1, pp.107 - 118-
dc.identifier.issn1029-3132-
dc.identifier.urihttp://hdl.handle.net/10203/6437-
dc.description.abstractThis paper investigates the predictability of stock index returns using a nonparametric multivariate nearest neighbor model. A cross validation method that minimizes the mean square error is used to determine the embedding dimensions and the number of neighbors optimally. The performance of the proposed model is demonstrated using the KOSPI composite index and 16 industry indexes.-
dc.languageEnglish-
dc.language.isoen_USen
dc.publisherNational Cheng Kung University-
dc.titlePerformance of a Nonparametric Multivariate Nearest Neighbor Model in the Prediction of Stock Index Returns-
dc.typeArticle-
dc.type.rimsART-
dc.citation.volume7-
dc.citation.issue1-
dc.citation.beginningpage107-
dc.citation.endingpage118-
dc.citation.publicationnameASIA PACIFIC MANAGEMENT REVIEW-
dc.embargo.liftdate9999-12-31-
dc.embargo.terms9999-12-31-
dc.contributor.localauthorKim, Tong Suk-
dc.contributor.localauthorLee, Hoe Kyung-
dc.contributor.nonIdAuthorYoon, Jong Hun-
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MT-Journal Papers(저널논문)
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