A Quantilogram Approach to Evaluating Directional Predictability
In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference, propose some model free upper bound critical values, and apply our methods to stock index return data. The empirical results suggests some directional predictability in returns especially in mid range quantiles like 5%-10%.
|Date of creation:||Mar 2004|
|Date of revision:|
|Publication status:||Published in Journal of Econometrics (2007), 141: 250-282|
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Web page: http://cowles.econ.yale.edu/
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
References listed on IDEAS
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- Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(05), pages 793-813, December.
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University of California at San Diego, Economics Working Paper Series
qt06m3d6nv, Department of Economics, UC San Diego.
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- Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
- Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
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"Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables,"
Cambridge University Press, vol. 4(03), pages 458-467, December.
- Andrews, Donald W. K., 1987. "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables," Working Papers 645, California Institute of Technology, Division of the Humanities and Social Sciences.
- repec:cup:etheor:v:12:y:1996:i:5:p:793-813 is not listed on IDEAS
- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
- repec:cup:etheor:v:7:y:1991:i:2:p:186-99 is not listed on IDEAS
- Marc Hallin & Jean-Marie Dufour & Ivan Mizera, 1998. "Generalized run tests for heteroscedastic time series," ULB Institutional Repository 2013/2077, ULB -- Universite Libre de Bruxelles.
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