Linton, Oliver; Whang, Yoon-Jae - Suntory and Toyota International Centres for Economics … - 2003
given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the …In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a … stock index return data. The empirical results suggest some directional predictability in returns, especially in mid …