Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers
股票收益建模与预测：利用期货信息、区制转换和国际溢出
Abstract This paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime‐switching behaviour and international spillovers across stock market indices. Using data for three major stock market indices since 1989, we find that: (i) in sample, our model outperforms several alternative models on the basis of standard statistical criteria; (ii) in out‐of‐sample forecasting, our model…