This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Nonparametric retrospection and monitoring of predictability of financial returns Author info | Abstract | Publisher info | Download info | Related research | Statistics Stanislav Anatolyev () (NES)
Additional information is available for the following
registered author(s):
We develop and evaluate sequential testing tools for a class of nonparametric tests for predictability of financial returns that includes, in particular, the directional accuracy and excess profitability tests. We consider both the retrospective context where a researcher wants to track predictability over time in a historical sample, and the monitoring context where a researcher conducts testing as new observations arrive. Throughout, we elaborate on both two-sided and one-sided testing, focusing on linear monitoring boundaries that are continuations of horizontal lines corresponding to retrospective critical values. We illustrate our methodology by testing for directional and mean predictability of returns in a dozen of young stock markets in Eastern Europe.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Center for Economic and Financial Research (CEFIR) in its series Working Papers with number
w0071.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length: 28 pages
Date of creation: Aug 2006Date of revision:
Handle: RePEc:cfr:cefirw:w0071Contact details of provider: Postal: 117418 Russia, Moscow, Nakhimovsky pr., 47, office 720 Phone: +7 (495) 105 50 02 Fax: +7 (495) 105 50 03 Email: Web page: http://www.cefir.ru More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Julia Babich).
Keywords: Testing monitoring predictability stock returns Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Phillips, P C B & Durlauf, S N, 1986.
"Multiple Time Series Regression with Integrated Processes ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 53(4), pages 473-95, August.
[Downloadable!] (restricted)
Other versions: Leisch, Friedrich & Hornik, Kurt & Kuan, Chung-Ming, 2000.
"Monitoring Structural Changes With The Generalized Fluctuation Test ,"
Econometric Theory ,
Cambridge University Press, vol. 16(06), pages 835-854, December.
[Downloadable!]
Rockinger, Michael & Urga, Giovanni, 2000.
"The Evolution of Stock Markets in Transition Economies ,"
Journal of Comparative Economics ,
Elsevier, vol. 28(3), pages 456-472, September.
[Downloadable!] (restricted)
Pesaran, M Hashem & Timmermann, Allan, 1992.
"A Simple Nonparametric Test of Predictive Performance ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 10(4), pages 561-65, October.
Other versions:
Pesaran, M.H. & Timmermann, A., 1990.
"A Simple Non-Parametric Test Of Predictive Performance ,"
Papers
29, California Los Angeles - Applied Econometrics.
Pesaran, M.H. & Timmermann, A., 1990.
"A Simple, Non-Parametric Test Of Predictive Performance ,"
Cambridge Working Papers in Economics
9021, Faculty of Economics, University of Cambridge.
Qi, Min & Wu, Yangru, 2003.
"Nonlinear prediction of exchange rates with monetary fundamentals ,"
Journal of Empirical Finance ,
Elsevier, vol. 10(5), pages 623-640, December.
[Downloadable!] (restricted)
Pesaran, M. Hashem & Timmermann, Allan, 2004.
"How costly is it to ignore breaks when forecasting the direction of a time series? ,"
International Journal of Forecasting ,
Elsevier, vol. 20(3), pages 411-425.
[Downloadable!] (restricted)
Other versions: Timmermann, Allan & Granger, Clive W. J., 2004.
"Efficient market hypothesis and forecasting ,"
International Journal of Forecasting ,
Elsevier, vol. 20(1), pages 15-27.
[Downloadable!] (restricted)
Other versions: Peter F. Christoffersen & Francis X. Diebold, 2003.
"Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics ,"
NBER Working Papers
10009, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Peter F. Christoffersen & Francis X. Diebold, 2004.
"Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics ,"
CFS Working Paper Series
2004/08, Center for Financial Studies.
[Downloadable!] Peter F. Christoffersen & Francis X.Diebold, 2003.
"Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics ,"
PIER Working Paper Archive
04-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
[Downloadable!] Pesaran, M. Hashem & Timmermann, Allan, 2002.
"Market timing and return prediction under model instability ,"
Journal of Empirical Finance ,
Elsevier, vol. 9(5), pages 495-510, December.
[Downloadable!] (restricted)
Other versions: Zalewska-Mitura, Anna & Hall, Stephen G., 1999.
"Examining the first stages of market performance: a test for evolving market efficiency ,"
Economics Letters ,
Elsevier, vol. 64(1), pages 1-12, July.
[Downloadable!] (restricted)
Anatolyev, Stanislav & Gerko, Alexander, 2005.
"A Trading Approach to Testing for Predictability ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 23, pages 455-461, October.
[Downloadable!] (restricted)
Kuan, Chung-Ming & Chen, Mei-Yuan, 1994.
"Implementing the fluctuation and moving-estimates tests in dynamic econometric models ,"
Economics Letters ,
Elsevier, vol. 44(3), pages 235-239.
[Downloadable!] (restricted)
Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005.
"Monitoring structural change in dynamic econometric models ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 20(1), pages 99-121.
[Downloadable!]
Elena Andreou & Eric Ghysels, 2004.
"Monitoring for Disruptions in Financial Markets ,"
CIRANO Working Papers
2004s-26, CIRANO.
[Downloadable!]
Andreou, Elena & Ghysels, Eric, 2006.
"Monitoring disruptions in financial markets ,"
Journal of Econometrics ,
Elsevier, vol. 127(1-2), pages 77-124.
[Downloadable!] (restricted)
Rockinger, Michael & Urga, Giovanni, 2001.
"A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 19(1), pages 73-84, January.
Inoue, Atsushi & Rossi, Barbara, 2005.
"Recursive Predictability Tests for Real-Time Data ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 23, pages 336-345, July.
[Downloadable!] (restricted)
Other versions: Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996.
"Monitoring Structural Change ,"
Econometrica ,
Econometric Society, vol. 64(5), pages 1045-65, September.
[Downloadable!] (restricted)
Mateus, Tiago, 2004.
"The risk and predictability of equity returns of the EU accession countries ,"
Emerging Markets Review ,
Elsevier, vol. 5(2), pages 241-266, June.
[Downloadable!] (restricted)
repec:cup:etheor:v:11:y:1995:i:4:p:699-720 is not listed on IDEAS
Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989.
"A new test for structural stability in the linear regression model ,"
Journal of Econometrics ,
Elsevier, vol. 40(2), pages 307-318, February.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Kovačić, Zlatko, 2007.
"Forecasting volatility: Evidence from the Macedonian stock exchange ,"
MPRA Paper
5319, University Library of Munich, Germany.
[Downloadable!]
Access and
download statistics Did you know? The RePEc project started in 1997. Its precursor, NetEc, dates back to 1993.
This page was last updated on 2008-7-6.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .