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Testing independence of two autocorrelated binary time series

Author

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  • Chou, Cheng
  • Chu, Chia-Shang J.

Abstract

Event forecast is a possibly autocorrelated binary time series. A new test for its timing ability is based on the correlation between the discrete autoregressions of the event forecast and the event time series. The new test outperforms the existing market timing tests.

Suggested Citation

  • Chou, Cheng & Chu, Chia-Shang J., 2010. "Testing independence of two autocorrelated binary time series," Statistics & Probability Letters, Elsevier, vol. 80(1), pages 69-75, January.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:1:p:69-75
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    References listed on IDEAS

    as
    1. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
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    Cited by:

    1. Helmut Elsinger, 2020. "Serial Correlation in Contingency Tables (Helmut Elsinger)," Working Papers 228, Oesterreichische Nationalbank (Austrian Central Bank).
    2. repec:wsi:acsxxx:v:21:y:2018:i:08:n:s0219525918500194 is not listed on IDEAS
    3. Chou, Cheng & Chu, Chia-Shang J., 2011. "Market timing: Recent development and a new test," Economics Letters, Elsevier, vol. 111(2), pages 105-109, May.
    4. Damien Challet & R'emy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2016. "Statistically validated lead-lag networks and inventory prediction in the foreign exchange market," Papers 1609.04640, arXiv.org, revised Jul 2018.

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