Evaluating Probabilistic Forecasts of Stock Prices in a Developing Stock Market

European Journal of Operational Research, 74, pp. 350-358, 1994

Posted: 23 Nov 2008

See all articles by Yaz Gulnur Muradoglu

Yaz Gulnur Muradoglu

Queen Mary University of London; City University London - Sir John Cass Business School

Dilek Onkal

Bilkent University

Date Written: 1994

Abstract

Recent literature on the accuracy of forecasting in financial markets reveals contradictory results. These discrepancies can be attributed to the differences in forecasting environments as well as the differences in forecaster expertise that are employed by the researchers. Since the use of point and interval predictions by themselves do not aid in explaining the various aspects of forecaster performance, probabilistic forecasting provides a better alternative that can be used to gain insight into forecasting accuracy in such settings. This study aims to test the effects of forecaster expertise and forecasting environment on forecasting accuracy. Accordingly, various aspects of forecasting performance are studied in a developing stock-market framework.

Keywords: Forecasting, Probability, Financial, Stock price

Suggested Citation

Muradoglu, Yaz Gulnur and Onkal, Dilek, Evaluating Probabilistic Forecasts of Stock Prices in a Developing Stock Market (1994). European Journal of Operational Research, 74, pp. 350-358, 1994. Available at SSRN: https://ssrn.com/abstract=1298519

Yaz Gulnur Muradoglu

Queen Mary University of London ( email )

Francis Bancroft Building
Mile End Road
London, E1 4NS
United Kingdom

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 7040 0124 (Phone)
+44 20 7040 8853 (Fax)

Dilek Onkal (Contact Author)

Bilkent University ( email )

Bilkent University
Faculty of Business Administration
Bilkent, Ankara 06800
Turkey
+90.312.290.1596 (Phone)

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