The decomposition-based vector autoregressive model （DVAR） provides a new framework for scrutinizing the efficiency of technical analysis in forecasting stock returns. However, its relation- ships with other technic...The decomposition-based vector autoregressive model （DVAR） provides a new framework for scrutinizing the efficiency of technical analysis in forecasting stock returns. However, its relation- ships with other technical indicators still remain unknown. This paper investigates the relationships of DVAR model with the Japanese Candlestick indicators using simulations, theoretical explanations and empirical studies. The main finding of this paper is that both lower and upper shadows in Japanese Candlestick Granger contribute to the DVAR model explanation power, and thus, providing useful information for improving the DVAR forecasts. This finding makes sense as it means that the infor- mation contained in the lower and upper shadows should be used when modeling the stock returns with DVAR. Empirical studies performed on China SSEC stock index demonstrate that DVAR model with upper and lower shadows as exogenous variables does have informative and valuable out-of-sample forecasts.展开更多
美国纺织品服装的标准体系包括产品质量标准和测试方法标准两大类。产品质量标准是由各大采购商根据最终客户的需求自行制订,与我国从"符合性"角度去理解并制订纺织品质量标准不同,美国人通常用"适用性"(fitness fo...美国纺织品服装的标准体系包括产品质量标准和测试方法标准两大类。产品质量标准是由各大采购商根据最终客户的需求自行制订,与我国从"符合性"角度去理解并制订纺织品质量标准不同,美国人通常用"适用性"(fitness for use)来定义纺织品或者服装的质量。美国纺织产品质量标准所引用的测试方法标准,主要来源AATCC(美国纺织化学家和染色家协会)标准、ASTM(美国材料试验协会)、FTC强制性标准(美国联邦贸易委员会)和CPSC(美国联邦消费品安全委员会)制订的相关标准。展开更多
基金supported by the National Natural Science Foundation of China under Grant No.71401033
文摘The decomposition-based vector autoregressive model （DVAR） provides a new framework for scrutinizing the efficiency of technical analysis in forecasting stock returns. However, its relation- ships with other technical indicators still remain unknown. This paper investigates the relationships of DVAR model with the Japanese Candlestick indicators using simulations, theoretical explanations and empirical studies. The main finding of this paper is that both lower and upper shadows in Japanese Candlestick Granger contribute to the DVAR model explanation power, and thus, providing useful information for improving the DVAR forecasts. This finding makes sense as it means that the infor- mation contained in the lower and upper shadows should be used when modeling the stock returns with DVAR. Empirical studies performed on China SSEC stock index demonstrate that DVAR model with upper and lower shadows as exogenous variables does have informative and valuable out-of-sample forecasts.
文摘美国纺织品服装的标准体系包括产品质量标准和测试方法标准两大类。产品质量标准是由各大采购商根据最终客户的需求自行制订,与我国从"符合性"角度去理解并制订纺织品质量标准不同,美国人通常用"适用性"(fitness for use)来定义纺织品或者服装的质量。美国纺织产品质量标准所引用的测试方法标准,主要来源AATCC(美国纺织化学家和染色家协会)标准、ASTM(美国材料试验协会)、FTC强制性标准(美国联邦贸易委员会)和CPSC(美国联邦消费品安全委员会)制订的相关标准。
