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A Trading Approach to Testing for Predictability

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  • Anatolyev, Stanislav
  • Gerko, Alexander

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 23 (2005)
Issue (Month): (October)
Pages: 455-461

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Handle: RePEc:bes:jnlbes:v:23:y:2005:p:455-461

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Cited by:
  1. Anatolyev, Stanislav, 2009. "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
  2. : Roman Kozhan & Mark Salmon, 2010. "The information Content of a Limit Order Book:the Case of an FX Market," Working Papers wpn10-05, Warwick Business School, Finance Group.
  3. Roman Kozhan & Mark Salmon, 2007. "Uncertainty Aversion in an Agent-Based Model of Foreign Exchange Rate Formation," Working Papers wpn07-06, Warwick Business School, Finance Group.
  4. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2011. "Individual exchange rate forecasts and expected fundamentals," ZEW Discussion Papers 11-062, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  5. Kozhan, Roman & Salmon, Mark, 2009. "Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1106-1122, May.
  6. Mark Salmon & Roman Kozhan, 2008. "On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates," Working Papers wp08-06, Warwick Business School, Finance Group.
  7. Blaskowitz, Oliver & Herwartz, Helmut, 2011. "On economic evaluation of directional forecasts," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1058-1065, October.
  8. Anatolyev, Stanislav, 2005. "A ten-year retrospection of the behavior of Russian stock returns," BOFIT Discussion Papers 9/2005, Bank of Finland, Institute for Economies in Transition.
  9. Pablo Pincheira, 2006. "Shrinkage Based Tests of the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 376, Central Bank of Chile.
  10. Pablo Pincheira, 2013. "A Simple Out-of-Sample Test for the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 698, Central Bank of Chile.
  11. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR).
  12. Oliver Blaskowitz & Helmut Herwartz, 2008. "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers SFB649DP2008-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  13. Òscar Jordà & Alan M. Taylor, 2011. "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers 17150, National Bureau of Economic Research, Inc.
  14. Pablo Pincheira, 2008. "Combining Tests of Predictive Ability Theory and Evidence for Chilean and Canadian Exchange Rates," Working Papers Central Bank of Chile 459, Central Bank of Chile.

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