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Citations for "Data-Snooping, Technical Trading Rule Performance and the Bootstrap"

by Sullivan, Ryan & Timmermann, Allan G & White, Halbert

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  1. Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming, 2010. "Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 471-484, June.
  2. Patton, Andrew J & Ramadorai, Tarun, 2011. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 8479, C.E.P.R. Discussion Papers.
  3. Shynkevich, Andrei, 2016. "Predictability in bond returns using technical trading rules," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 55-69.
  4. Chong, Terence Tai-Leung & Ip, Hugo Tak-Sang, 2009. "Do momentum-based strategies work in emerging currency markets?," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 479-493, September.
  5. Damien Challet & Ahmed Bel Hadj Ayed, 2014. "Do Google Trend data contain more predictability than price returns?," Papers 1403.1715, arXiv.org.
  6. Hung-Wei Lai & Cheng-Wei Chen & Chin-Sheng Huang, 2010. "Technical Analysis, Investment Psychology, and Liquidity Provision: Evidence from the Taiwan Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(5), pages 18-38, September.
  7. Y. Kahiri & A. Shmilovici & S. Hauser, 2006. "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computing in Economics and Finance 2006 256, Society for Computational Economics.
  8. Chen, Shi & Bao, Si & Zhou, Yu, 2016. "The predictive power of Japanese candlestick charting in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 148-165.
  9. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
  10. Timmermann, Allan & Granger, Clive W. J., 2004. "Efficient market hypothesis and forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 15-27.
  11. Szakmary, Andrew C. & Shen, Qian & Sharma, Subhash C., 2010. "Trend-following trading strategies in commodity futures: A re-examination," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 409-426, February.
  12. Cheol-Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, 09.
  13. Carlos A. Medel & Sergio C. Salgado, 2012. "Does BIC Estimate and Forecast Better Than AIC?," Working Papers Central Bank of Chile 679, Central Bank of Chile.
  14. Dichtl, Hubert & Drobetz, Wolfgang, 2014. "Are stock markets really so inefficient? The case of the “Halloween Indicator”," Finance Research Letters, Elsevier, vol. 11(2), pages 112-121.
  15. Cesari, Riccardo & Cremonini, David, 2003. "Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 987-1011, April.
  16. Taylor, Nick, 2014. "The rise and fall of technical trading rule success," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 286-302.
  17. Marshall, Ben R. & Young, Martin R. & Rose, Lawrence C., 2006. "Candlestick technical trading strategies: Can they create value for investors?," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2303-2323, August.
  18. Day, Theodore E. & Wang, Pingying, 2002. "Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 431-454, November.
  19. Yin, Libo & Yang, Qingyuan, 2016. "Predicting the oil prices: Do technical indicators help?," Energy Economics, Elsevier, vol. 56(C), pages 338-350.
  20. Shynkevich, Andrei, 2013. "Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency," Journal of Economics and Business, Elsevier, vol. 69(C), pages 64-85.
  21. Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M., 2008. "Can commodity futures be profitably traded with quantitative market timing strategies?," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1810-1819, September.
  22. Brian Lucey, 2004. "Robust estimates of daily seasonality in the Irish equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(7), pages 517-523.
  23. Stephan Schulmeister, "undated". "Profitability and Price Effects of Technical Currency Trading," WIFO Working Papers 140, WIFO.
  24. Zongwu Cai & Jiancheng Jiang & Jingshuang Zhang & Xibin Zhang, 2015. "A new semiparametric test for superior predictive ability," Empirical Economics, Springer, vol. 48(1), pages 389-405, February.
  25. Nomikos, Nikos K. & Doctor, Kaizad, 2013. "Economic significance of market timing rules in the Forward Freight Agreement markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 77-93.
  26. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
  27. Andreas Gronlund & Il Gu Yi & Beom Jun Kim, 2012. "Fractal Profit Landscape of the Stock Market," Papers 1205.0505, arXiv.org.
  28. Chen, Cheng-Wei & Huang, Chin-Sheng & Lai, Hung-Wei, 2009. "The impact of data snooping on the testing of technical analysis: An empirical study of Asian stock markets," Journal of Asian Economics, Elsevier, vol. 20(5), pages 580-591, September.
  29. Ülkü, Numan & Prodan, Eugeniu, 2013. "Drivers of technical trend-following rules' profitability in world stock markets," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 214-229.
  30. P Kuang & M Schroder & Q Wang, 2013. "Illusory Profitability of Technical Analysis in Emerging Foreign Exchange Markets," Discussion Papers 13-09, Department of Economics, University of Birmingham.
  31. Atanasova, Christina V. & Hudson, Robert S., 2010. "Technical trading rules and calendar anomalies -- Are they the same phenomena?," Economics Letters, Elsevier, vol. 106(2), pages 128-130, February.
  32. Norman R. Swanson & Lili Cai, 2011. "In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008," Departmental Working Papers 201102, Rutgers University, Department of Economics.
  33. Alizadeh, Amir H. & Nomikos, Nikos K., 2007. "Investment timing and trading strategies in the sale and purchase market for ships," Transportation Research Part B: Methodological, Elsevier, vol. 41(1), pages 126-143, January.
  34. Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 675-685.
  35. ap Gwilym, O. & Kita, A. & Wang, Q., 2014. "Speculate against speculative demand," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 212-221.
  36. Kingsley Fong & David R. Gallagher & Adrian D. Lee, 2009. "The Value of Alpha Forecasts in Portfolio Construction," Australian Journal of Management, Australian School of Business, vol. 34(1), pages 97-121, June.
  37. Alizadeh, Amir H. & Nomikos, Nikos K. & Pouliasis, Panos K., 2008. "A Markov regime switching approach for hedging energy commodities," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1970-1983, September.
  38. Christopher Ittner & David Larcker & Daniel Taylor, 2009. "—The Stock Market's Pricing of Customer Satisfaction," Marketing Science, INFORMS, vol. 28(5), pages 826-835, 09-10.
  39. Yamamoto, Ryuichi, 2012. "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3033-3047.
  40. Diebold, Francis X., 2001. "Econometrics: Retrospect and prospect," Journal of Econometrics, Elsevier, vol. 100(1), pages 73-75, January.
  41. Neely, Christopher J. & Weller, Paul A. & Ulrich, Joshua M., 2009. "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(02), pages 467-488, April.
  42. Skouras, Spyros, 2003. "An algorithm for computing estimators that optimize step functions," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 349-361, March.
  43. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  44. Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing, 2011. "Is the Chinese Stock Market Really Efficient," MPRA Paper 35219, University Library of Munich, Germany.
  45. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  46. Shintani, Mototsugu & Yabu, Tomoyoshi & Nagakura, Daisuke, 2012. "Spurious regressions in technical trading," Journal of Econometrics, Elsevier, vol. 169(2), pages 301-309.
  47. Schmeling, Maik, 2006. "Institutional and Individual Sentiment: Smart Money and Noise Trader Risk," Hannover Economic Papers (HEP) dp-337, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  48. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, Elsevier.
  49. Lee, Hsiang-Tai, 2010. "Regime switching correlation hedging," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2728-2741, November.
  50. Hsu, Po-Hsuan & Taylor, Mark P. & Wang, Zigan, 2016. "Technical trading: Is it still beating the foreign exchange market?," Journal of International Economics, Elsevier, vol. 102(C), pages 188-208.
  51. Asger Lunde & Allan Timmermann, 2000. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Econometric Society World Congress 2000 Contributed Papers 1216, Econometric Society.
  52. Konstantinidi, Eirini & Skiadopoulos, George, 2011. "Are VIX futures prices predictable? An empirical investigation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560, April.
  53. Terence Tai-Leung Chong & Wing-Kam Ng & Venus Khim-Sen Liew, 2014. "Revisiting the Performance of MACD and RSI Oscillators," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(1), pages 1-1, February.
  54. Pedro Godinho, 2012. "Can abnormal returns be earned on bandwidth-bounded currencies? Evidence from a genetic algorithm," Economic Issues Journal Articles, Economic Issues, vol. 17(1), pages 1-26, March.
  55. Gerritsen, Dirk F., 2016. "Are chartists artists? The determinants and profitability of recommendations based on technical analysis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 179-196.
  56. Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  57. Gencay, Ramazan & Dacorogna, Michel & Olsen, Richard & Pictet, Olivier, 2003. "Foreign exchange trading models and market behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 909-935, April.
  58. Francesco Lautizi, 2015. "Large Scale Covariance Estimates for Portfolio Selection," CEIS Research Paper 353, Tor Vergata University, CEIS, revised 07 Aug 2015.
  59. Po-Hsuan Hsu & Chung-Ming Kuan, 2004. "Re-Examining the Profitability of Technical Analysis with White’s Reality Check," IEAS Working Paper : academic research 04-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  60. Batchelor, Roy & Kwan, Tai Yeong, 2007. "Judgemental bootstrapping of technical traders in the bond market," International Journal of Forecasting, Elsevier, vol. 23(3), pages 427-445.
  61. Julián Andrada-Félix & Fernando Fernández-Rodríguez, 2008. "Improving moving average trading rules with boosting and statistical learning methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 433-449.
  62. Antony Jackson & Daniel Ladley, 2013. "Market Ecologies: The Interaction and Profitability of Technical Trading Strategies," Discussion Papers in Economics 13/02, Department of Economics, University of Leicester.
  63. Nomikos, Nikos K. & Pouliasis, Panos K., 2011. "Forecasting petroleum futures markets volatility: The role of regimes and market conditions," Energy Economics, Elsevier, vol. 33(2), pages 321-337, March.
  64. Paresh Kumar Narayan & Seema Narayan & Susan S Sharma, . "An analysis of commodity markets: What gain for investors?," Financial Econometics Series 2013_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  65. Foort Hamelink, 2001. "Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 335-355.
  66. Neely, Christopher J. & Weller, Paul A., 2013. "Lessons from the evolution of foreign exchange trading strategies," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3783-3798.
  67. E. Hui & J. Wright & S. Yam, 2014. "Calendar Effects and Real Estate Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 91-115, July.
  68. Dan Anghel, 2013. "How Reliable is the Moving Average Crossover Rule for an Investor on the Romanian Stock Market?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 089-115, December.
  69. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
  70. Pierre Bajgrowicz & Olivier Scaillet, 2007. "Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs," Swiss Finance Institute Research Paper Series 08-05, Swiss Finance Institute, revised Jul 2009.
  71. Fong, Wai Mun & Yong, Lawrence H. M., 2005. "Chasing trends: recursive moving average trading rules and internet stocks," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 43-76, January.
  72. Peter Reinhard Hansen, 2001. "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers 2001-06, Brown University, Department of Economics.
  73. Martin Scholtus & Dick van Dijk, 2012. "High-Frequency Technical Trading: The Importance of Speed," Tinbergen Institute Discussion Papers 12-018/4, Tinbergen Institute.
  74. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series qt2z02z6d9, Department of Economics, UC San Diego.
  75. Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
  76. Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.
  77. Yuan, Kathy & Zheng, Lu & Zhu, Qiaoqiao, 2006. "Are investors moonstruck? Lunar phases and stock returns," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 1-23, January.
  78. Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian, 2017. "Relevant states and memory in Markov chain bootstrapping and simulation," European Journal of Operational Research, Elsevier, vol. 256(1), pages 163-177.
  79. Frömmel, Michael & Lampaert, Kevin, 2016. "Does frequency matter for intraday technical trading?," Finance Research Letters, Elsevier, vol. 18(C), pages 177-183.
  80. Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 193-208.
  81. Park, Cheol-Ho & Irwin, Scott H., 2005. "The Profitability of Technical Trading Rules in US Futures Markets: A Data Snooping Free Test," AgMAS Project Research Reports 14771, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  82. Tsung-Hsun Lu & Yung-Ming Shiu, 2012. "Tests for Two-Day Candlestick Patterns in the Emerging Equity Market of Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 41-57, January.
  83. Christopher J. Neely, 2002. "The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits," Working Papers 2000-018, Federal Reserve Bank of St. Louis.
  84. Andriosopoulos, Kostas & Doumpos, Michael & Papapostolou, Nikos C. & Pouliasis, Panos K., 2013. "Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 16-34.
  85. Fernando Rubio, 2004. "Technical Analysis On Foreign Exchange: 1975 - 2004," Finance 0405033, EconWPA, revised 01 Jul 2004.
  86. Schmidt, Anatoly B., 2002. "Why technical trading may be successful? A lesson from the agent-based modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 303(1), pages 185-188.
  87. B. Carmichael & L. Samson, 2003. "Expected returns and economic risk in Canadian financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 177-189.
  88. Jackson, Antony & Ladley, Daniel, 2016. "Market ecologies: The effect of information on the interaction and profitability of technical trading strategies," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 270-280.
  89. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models," Papers 1401.1888, arXiv.org, revised Feb 2016.
  90. Edwin D. Maberly & Daniel F. Waggoner, 2000. "Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract," FRB Atlanta Working Paper 2000-11, Federal Reserve Bank of Atlanta.
  91. Marshall, Ben R. & Visaltanachoti, Nuttawat, 2010. "The Other January Effect: Evidence against market efficiency?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2413-2424, October.
  92. Schulmeister, Stephan, 2009. "Profitability of technical stock trading: Has it moved from daily to intraday data?," Review of Financial Economics, Elsevier, vol. 18(4), pages 190-201, October.
  93. Qingwei Wang, 2010. "Sentiment, Convergence of Opinion, and Market Crash," Working Papers 10012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  94. Bell, Peter N, 2013. "New Testing Procedures to Assess Market Efficiency with Trading Rules," MPRA Paper 46701, University Library of Munich, Germany.
  95. Alexeev, Vitali & Tapon, Francis, 2011. "Testing weak form efficiency on the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 661-691, September.
  96. Hsu, Po-Hsuan & Taylor, Mark P, 2014. "Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market," CEPR Discussion Papers 10018, C.E.P.R. Discussion Papers.
  97. Powell, John G. & Shi, Jing & Smith, Tom & Whaley, Robert E., 2009. "Political regimes, business cycles, seasonalities, and returns," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1112-1128, June.
  98. Fang, Jiali & Jacobsen, Ben & Qin, Yafeng, 2014. "Predictability of the simple technical trading rules: An out-of-sample test," Review of Financial Economics, Elsevier, vol. 23(1), pages 30-45.
  99. Metghalchi, Massoud & Chang, Yung-Ho & Marcucci, Juri, 2008. "Is the Swedish stock market efficient? Evidence from some simple trading rules," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 475-490, June.
  100. Carine Brasseur & Marcelo Espinoza & Johan A. K. Suykens & Tony Van Gestel & Bart Baesens & Bart De Moor, 2006. "A Bayesian nonlinear support vector machine error correction model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 77-100.
  101. C. L. Dunis & Jason Laws & Ben Evans, 2006. "Trading futures spreads: an application of correlation and threshold filters," Applied Financial Economics, Taylor & Francis Journals, vol. 16(12), pages 903-914.
  102. Skouras, Spyros, 2001. "Financial returns and efficiency as seen by an artificial technical analyst," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 213-244, January.
  103. Pereira, Pedro L. Valls, 2009. "Predictability of equity models," Textos para discussão 176, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  104. Eric Ghysels & João Pereira, 2003. "On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation," CIRANO Working Papers 2003s-27, CIRANO.
  105. Ma-Ju Wang, 2014. "A Study on the Differences in Adopting Cash Refund Capital Reduction and Stock Repurchase By Companies in Bull and Bear Stock Markets," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(9), pages 1237-1253, September.
  106. Lu, Tsung-Hsun & Chen, Yi-Chi & Hsu, Yu-Chin, 2015. "Trend definition or holding strategy: What determines the profitability of candlestick charting?," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 172-183.
  107. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 217-240.
  108. Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008. "Formalized Data Snooping Based On Generalized Error Rates," Econometric Theory, Cambridge University Press, vol. 24(02), pages 404-447, April.
  109. Karapandza, Rasa, 2016. "Stock returns and future tense language in 10-K reports," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 50-61.
  110. Sainan Jin & Valentina Corradi & Norman Swanson, 2015. "Robust Forecast Comparison," Departmental Working Papers 201502, Rutgers University, Department of Economics.
  111. Philip, Dennis & Shi, Yukun, 2016. "Optimal hedging in carbon emission markets using Markov regime switching models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 1-15.
  112. Grinblatt, Mark & Moskowitz, Tobias J., 2004. "Predicting stock price movements from past returns: the role of consistency and tax-loss selling," Journal of Financial Economics, Elsevier, vol. 71(3), pages 541-579, March.
  113. Jan R. Magnus & Dmitry Danilov, 2004. "Forecast accuracy after pretesting with an application to the stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(4), pages 251-274.
  114. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
  115. Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2006. "Economic and Financial Crises and the Predictability of U.S. Stock Returns," MPRA Paper 561, University Library of Munich, Germany.
  116. Lu, Tsung-Hsun, 2014. "The profitability of candlestick charting in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 65-78.
  117. Patton, Andrew J & Ramadorai, Tarun, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
  118. Marco Aiolfi & Carlo Ambrogio Favero, "undated". "Model Uncertainty, Thick Modelling and the predictability of Stock Returns," Working Papers 221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  119. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
  120. Hudson, Robert S. & Gregoriou, Andros, 2015. "Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 151-162.
  121. Yang, Jian & Cabrera, Juan & Wang, Tao, 2010. "Nonlinearity, data-snooping, and stock index ETF return predictability," European Journal of Operational Research, Elsevier, vol. 200(2), pages 498-507, January.
  122. Kaucic, Massimiliano, 2010. "Investment using evolutionary learning methods and technical rules," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1717-1727, December.
  123. Cummins, Mark, 2013. "EU ETS market interactions: The case for multiple hypothesis testing approaches," Applied Energy, Elsevier, vol. 111(C), pages 701-709.
  124. Lee, Tae-Hwy & Saltoglu, Burak, 2002. "Assessing the risk forecasts for Japanese stock market," Japan and the World Economy, Elsevier, vol. 14(1), pages 63-85, January.
  125. Urquhart, Andrew & Gebka, Bartosz & Hudson, Robert, 2015. "How exactly do markets adapt? Evidence from the moving average rule in three developed markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 127-147.
  126. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
  127. Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch, 2012. "An improved test for statistical arbitrage," Journal of Financial Markets, Elsevier, vol. 15(1), pages 47-80.
  128. Hoffmann, Arvid O.I. & Shefrin, Hersh, 2014. "Technical analysis and individual investors," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 487-511.
  129. Michael D. McKenzie, 2007. "Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 43(4), pages 46-73, August.
  130. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
  131. Stephan Schulmeister, 2007. "Performance of Technical Trading Systems in the Yen/Dollar Market," WIFO Working Papers 291, WIFO.
  132. Allan Timmermann & M. Hashem Pesaran, 2002. "Market Timing and Return Prediction under Model Instability," FMG Discussion Papers dp412, Financial Markets Group.
  133. Garret S. Christensen & Edward Miguel, 2016. "Transparency, Reproducibility, and the Credibility of Economics Research," NBER Working Papers 22989, National Bureau of Economic Research, Inc.
  134. Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
  135. Isakov, Dusan & Marti, Didier, 2011. "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers 421, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
  136. Han Hwa Goh & Kim Leng Tan & Chia Ying Khor & Sew Lai Ng, 2016. "Volatility and Market Risk of Rubber Price in Malaysia: Pre- and Post-Global Financial Crisis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(2), pages 323-344, December.
  137. Andrew Ellul & Craig W. Holden & Pankaj Jain & Robert Jennings, 2003. "A comprehensive test of order choice theory: recent evidence from the NYSE," LSE Research Online Documents on Economics 24896, London School of Economics and Political Science, LSE Library.
  138. Zhu, Yingzi & Zhou, Guofu, 2009. "Technical analysis: An asset allocation perspective on the use of moving averages," Journal of Financial Economics, Elsevier, vol. 92(3), pages 519-544, June.
  139. Zongwu Cai & Jiancheng Jiang & Jingshuang Zhang, 2013. "A New Test for Superior Predictive Ability," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  140. Grant, Andrew & Johnstone, David, 2010. "Finding profitable forecast combinations using probability scoring rules," International Journal of Forecasting, Elsevier, vol. 26(3), pages 498-510, July.
  141. Tezel, Ahmet & McManus, Ginette, 2001. "Evaluating a stock market timing strategy: the case of RTE Asset Management," Financial Services Review, Elsevier, vol. 10(1-4), pages 173-186.
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