Candlestick Forecasting for Investments: Applications, Models and Properties

Description

Cover Half Title Series Page Title Page Copyright Page Contents List of figures List of tables About the authors Acknowledgements Preface Part I Introduction and outline 1 Introduction 1.1 Technical analysis before the 1970s 1.2 Technical analysis during 1990s–2000s 1.3 Recent advances in technical analysis 1.4 Summary 2 Outline of this book Part II Candlestick 3 Basic concepts 4 Statistical properties 4.1 Propositions 4.2 Simulations 4.3 Empirical evidence 4.4 Summary Part III Statistical models 5 DVAR model 5.1 The model 5.2 Statistical foundation 5.3 Simulations 5.4 Empirical results 5.5 Summary 6 Shadows in DVAR 6.1 Simulations 6.2 Theoretical explanation 6.3 Empirical evidence 6.4 Summary Part IV Applications 7 Market volatility timing 7.1 Introduction 7.2 GARCH@CARR model 7.3 Economic value of volatility timing 7.4 Empirical results 7.4.1 The data 7.4.2 In-sample volatility timing 7.4.3 Out-of-sample volatility timing 7.5 Summary 8 Technical range forecasting 8.1 Introduction 8.2 Econometric methods 8.2.1 The model 8.2.2 Out-of-sample forecast evaluation 8.3 An empirical study 8.3.1 The data 8.3.2 In-sample estimation 8.3.3 Out-of-sample forecast 8.4 Summary 9 Technical range spillover 9.1 Introduction 9.2 Econometric method 9.3 An empirical study: DAX and CAC40 9.3.1 The data 9.3.2 Estimation 9.4 Summary 10 Stock return forecasting: U.S. S&P500 10.1 Introduction 10.2 Econometric methods 10.2.1 The model 10.2.2 Out-of-sample evaluation 10.3 Statistical evidence 10.3.1 The data 10.3.2 In-sample estimation 10.3.3 Out-of-sample forecast 10.4 Economic evidence 10.5 More details 10.6 Summary 11 Oil price forecasting: WTI crude oil 11.1 Introduction 11.2 Econometric method 11.2.1 DVAR model 11.2.2 Forecast evaluation 11.3 Empirical results 11.3.1 The data 11.3.2 In-sample model estimation 11.3.3 Out-of-sample performance 11.4 Summary Part V Conclusions and future studies 12 Main conclusions 13 Future studies Bibliography Index