Similar Search Results

The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series

Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-jae - 2014

This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the asymptotic distribution of the cross quantilogram and the...

Persistent link: https://www.econbiz.de/10010245330

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018

nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …

Persistent link: https://www.econbiz.de/10011775136

Model comparisons in unstable environments

Giacomini, Raffaella; Rossi, Barbara - 2012

The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...

Persistent link: https://www.econbiz.de/10009554364

Multivariate variance ratio statistics

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...

Persistent link: https://www.econbiz.de/10010365211

An investigation into multivariate variance ratio statistics and their application to stock market predictability

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015

Persistent link: https://www.econbiz.de/10010496122

Mean Ratio Statistic for measuring predictability

Linton, Oliver; Smetanina, Katja - 2015

We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures not only linear dependence in the same way as the...

Persistent link: https://www.econbiz.de/10010481079

The behaviour of betting and currency markets on the night of the EU referendum

Auld, Tom; Linton, Oliver - 2018

We study the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. We investigate how the two markets responded to the announcement of the voting results. We employ a Bayesian updating methodology to...

Persistent link: https://www.econbiz.de/10011775074

Nonparametric estimation homothetic and homothetically separable functions

Lewbel, Arthur (contributor); Linton, Oliver (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001835900

Nonparametric estimation of a periodic sequence in the presence of a smooth trend

Vogt, Michael; Linton, Oliver - 2012

In this paper, we study a nonparametric regression model including a periodic component, a smooth trend function, and a stochastic error term. We propose a procedure to estimate the unknown period and the function values of the periodic component as well as the nonparametric trend function. The...

Persistent link: https://www.econbiz.de/10009614392

Efficient estimation of conditional risk measures in a semiparametric GARCH model

Yan, Yang; Shang, Dajing; Linton, Oliver - 2012

when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile …. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance … parameters. We show that the same conclusion applies to the estimation of conditional Expected Shortfall. Our comparison also …

Persistent link: https://www.econbiz.de/10009620388