Alexander Gerko
Biographic Data
| ID | 8920575 |
|---|---|
| NAME | Alexander Gerko |
| GIVEN NAMES | Alexander |
| FAMILY NAME | Gerko |
| SIGNATURE | GERKO A |
| AFFILIATIONS | Central Bank of the Russian Federation |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2005 |
| LATEST PUBLICATION YEAR | 2005 |
| H-INDEX | 0 |
A Trading Approach to Testing for Predictability
We propose a market timing test for conditional mean independence of financial returns. The new excess predictability (EP) test statistic has an interpretation of a properly normalized return of a certain trading strategy. We discuss similarities of the EP test to the popular directional accuracy (DA) test of Pesaran and Timmermann. Power properties of the EP test are advantageous, and size properties are comparable to those of the DA test. We il…
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A Trading Approach to Testing for Predictability
We propose a market timing test for conditional mean independence of financial returns. The new excess predictability (EP) test statistic has an interpretation of a properly normalized return of a certain trading strategy. We discuss similarities of the EP test to the popular directional accuracy (DA) test of Pesaran and Timmermann. Power properties of the EP test are advantageous, and size properties are comparable to those of the DA test. We il…
Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work) · Predictability (1 work) · Statistic (1 work) · Statistical hypothesis testing (1 work)