Blaskowitz, Oliver; Herwartz, Helmut - In: International Journal of Forecasting 30 (2014) 1, pp. 30-42
Common approaches to testing the economic value of directional forecasts are based on the classical χ2-test for independence, Fisher’s exact test or the Pesaran and Timmermann test for market timing. These tests are asymptotically valid for serially independent observations, but in the...