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Testing the value of directional forecasts in the presence of serial correlation

Blaskowitz, Oliver Jim; Herwartz, Helmut - In: International journal of forecasting 30 (2013) 1, pp. 30-42

Persistent link: https://www.econbiz.de/10010243646

Out-of-sample equity premium predictability and sample split-invariant inference

Kolev, Gueorgui I.; Karapandža, Raša - In: Journal of banking & finance 84 (2017), pp. 188-201

Persistent link: https://www.econbiz.de/10011816844

Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes

Chen, Bei; Gel, Yulia R.; Balakrishna, N.; Abraham, Bovas - In: Journal of forecasting 30 (2011) 1, pp. 51-71

Persistent link: https://www.econbiz.de/10009233916

A hybrid joint moment ratio test for financial time series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...

Persistent link: https://www.econbiz.de/10011299968