A Trading Approach to Testing for Predictability
Bibliographic Data
| ID | 19418154 |
|---|---|
| Authors | Stanislav Anatolyev (0000-0002-2560-0200, New Economic School), Alexander Gerko (Central Bank of the Russian Federation) |
| Year | 2005 |
| Volume | 23 |
| Issue | 4 |
| Pages | 455-461 |
| Publication date | 2005-10-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500104000000640 |
| OpenAlex | W2046388213 |
| Language | EN |
| Citations received | 5 |
| References cited | 16 |
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 illustrate application of the test using weekly data on the S&P500 index
Econometrics · Economics · Predictability · Statistic · Statistical hypothesis testing · Statistics · Test statistic · Complex Systems and Time Series Analysis · Computer Science · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics
Modeling Financial Return Dynamics via Decomposition
Nonparametric Retrospection and Monitoring of Predictability of Financial Returns
Forecast Selection in Unstable Environments
Daily return distribution forecast incorporating intraday high frequency information in China’s stock market
Are technical indicators helpful to investors in china’s stock market? A study based on some distribution forecast models and their combinations
| Citations per year | 0.29 |
|---|---|
| Citation span | 2009 - 2026 (18) |
| Highly cited | No |