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A Trading Approach to Testing for Predictability
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Cited by:
- Pablo Pincheira, 2008. "Combining Tests of Predictive Ability Theory and Evidence for Chilean and Canadian Exchange Rates," Working Papers Central Bank of Chile 459, Central Bank of Chile.
- Constantin Bürgi & Mengdi Song, 2024. "Do Professional Forecasters Follow Uncovered Interest Rate Parity?," CESifo Working Paper Series 11338, CESifo.
- Stanislav Anatolyev, 2021. "Directional news impact curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 94-107, January.
- Nicolás Magner & Nicolás Hardy, 2022. "Cryptocurrency Forecasting: More Evidence of the Meese-Rogoff Puzzle," Mathematics, MDPI, vol. 10(13), pages 1-27, July.
- Kian-Ping Lim & Robert Brooks, 2009. "On the validity of conventional statistical tests given evidence of nonsynchronous trading and nonlinear dynamics in returns generating process: a further note," Applied Economics Letters, Taylor & Francis Journals, vol. 16(6), pages 649-652.
- repec:hum:wpaper:sfb649dp2008-073 is not listed on IDEAS
- Nicolas S. Magner & Nicolás Hardy & Tiago Ferreira & Jaime F. Lavin, 2023. "“Agree to Disagree”: Forecasting Stock Market Implied Volatility Using Financial Report Tone Disagreement Analysis," Mathematics, MDPI, vol. 11(7), pages 1-16, March.
- Pablo Pincheira, 2013. "A Simple Out-of-Sample Test for the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 698, Central Bank of Chile.
- Michał Dominik Stasiak & Żaneta Staszak, 2024. "Modelling and Forecasting Crude Oil Prices Using Trend Analysis in a Binary-Temporal Representation," Energies, MDPI, vol. 17(14), pages 1-13, July.
- Ayedi Ahmed & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2023. "Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS," Working Papers halshs-04068651, HAL.
- Pablo Pincheira, 2006. "Shrinkage Based Tests of the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 376, Central Bank of Chile.
- Pincheira, Pablo & Hardy, Nicolás, 2021.
"Forecasting aluminum prices with commodity currencies,"
Resources Policy, Elsevier, vol. 73(C).
- Pincheira, Pablo & Hardy, Nicolás, 2019. "Forecasting Aluminum Prices with Commodity Currencies," MPRA Paper 97005, University Library of Munich, Germany.
- Iyke, Bernard Njindan & Phan, Dinh Hoang Bach & Narayan, Paresh Kumar, 2022. "Exchange rate return predictability in times of geopolitical risk," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Siroos Khademalomoom & Paresh Kumar Narayan & Susan Sunila Sharma, 2019. "Higher Moments and Exchange Rate Behavior," The Financial Review, Eastern Finance Association, vol. 54(1), pages 201-229, February.
- Stanislav Anatolyev, 2006. "Testing for predictability (in Russian)," Quantile, Quantile, issue 1, pages 39-42, September.
- Stanislav Anatolyev & Nikolay Gospodinov, 2007.
"Modeling Financial Return Dynamics by Decomposition,"
Working Papers
w0095, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, New Economic School (NES).
- Pablo Pincheira Brown & Nicolás Hardy, 2024.
"The mean squared prediction error paradox,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2298-2321, September.
- Pincheira, Pablo & Hardy, Nicolas, 2021. "The Mean Squared Prediction Error Paradox," MPRA Paper 107403, University Library of Munich, Germany.
- Narayan, Paresh Kumar & Sharma, Susan Sunila & Phan, Dinh Hoang Bach & Liu, Guangqiang, 2020. "Predicting exchange rate returns," Emerging Markets Review, Elsevier, vol. 42(C).
- Bohumil Stádník & Algita Miečinskienė, 2015. "Complex Model of Market Price Development and its Simulation," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 786-807, August.
- George Athanasopoulos & Rob J Hyndman & Raffaele Mattera, 2023. "Improving out-of-sample Forecasts of Stock Price Indexes with Forecast Reconciliation and Clustering," Monash Econometrics and Business Statistics Working Papers 17/23, Monash University, Department of Econometrics and Business Statistics.
- Anatolyev Stanislav, 2009. "Multi-Market Direction-of-Change Modeling Using Dependence Ratios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.
- Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2015.
"Exchange rate forecasts and expected fundamentals,"
Journal of International Money and Finance, Elsevier, vol. 53(C), pages 235-256.
- Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2014. "Exchange rate forecasts and expected fundamentals," Kiel Working Papers 1974, Kiel Institute for the World Economy (IfW Kiel).
- Anatolyev, Stanislav, 2009.
"Nonparametric Retrospection and Monitoring of Predictability of Financial Returns,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
- Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, New Economic School (NES).
- Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR).
- Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
- repec:zbw:bofitp:2005_009 is not listed on IDEAS
- Anatolyev, Stanislav, 2005. "A Ten-year retrospection of the behavior of Russian stock returns," BOFIT Discussion Papers 9/2005, Bank of Finland Institute for Emerging Economies (BOFIT).
- Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
- Hardy, Nicolás & Ferreira, Tiago & Quinteros, Maria J. & Magner, Nicolás S., 2023. "“Watch your tone!”: Forecasting mining industry commodity prices with financial report tone," Resources Policy, Elsevier, vol. 86(PA).
- Jying-Nan Wang & Jiangze Du & Chonghui Jiang & Kin-Keung Lai, 2019. "Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network," Complexity, Hindawi, vol. 2019, pages 1-15, October.
- Blaskowitz, Oliver & Herwartz, Helmut, 2011. "On economic evaluation of directional forecasts," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1058-1065, October.
- Pincheira Brown, Pablo & Hardy, Nicolás, 2019. "Forecasting base metal prices with the Chilean exchange rate," Resources Policy, Elsevier, vol. 62(C), pages 256-281.
- Kozhan, Roman & Salmon, Mark, 2009. "Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1106-1122, May.
- Liu, Li & Bu, Ruijun & Pan, Zhiyuan & Xu, Yuhua, 2019. "Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test," Economic Modelling, Elsevier, vol. 81(C), pages 124-135.
- Òscar Jordà & Alan M. Taylor, 2011. "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers 17150, National Bureau of Economic Research, Inc.
- Kozhan, Roman & Salmon, Mark, 2012. "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 1-28.
- Massimo Guidolin & Erwin Hansen & Gabriel Cabrera, 2023. "Time-Varying Risk Aversion and International Stock Returns," BAFFI CAREFIN Working Papers 23203, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Samuel W. Malone & Robert B. Gramacy & Enrique Ter Horst, 2016. "Timing Foreign Exchange Markets," Econometrics, MDPI, vol. 4(1), pages 1-23, March.
- Blaskowitz, Oliver J. & Herwartz, Helmut, 2008. "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers 2008-073, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Luis H. R. Alvarez E. & Paavo Salminen, 2017.
"Timing in the presence of directional predictability: optimal stopping of skew Brownian motion,"
Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(2), pages 377-400, October.
- Luis H. R. Alvarez E. & Paavo Salminen, 2016. "Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion," Papers 1608.04537, arXiv.org.
- Martin McCarthy, Stephen Snudden, 2024. "Predictable by Construction: Assessing Forecast Directional Accuracy of Temporal Aggregates," LCERPA Working Papers jc0147, Laurier Centre for Economic Research and Policy Analysis, revised Oct 2024.
- Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022.
"Common Drivers of Commodity Futures?,"
Working Papers
2207, Utrecht School of Economics.
- Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.
- Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Is carbon emissions trading profitable?," Economic Modelling, Elsevier, vol. 47(C), pages 84-92.
- Anatolyev, Stanislav, 2005. "A Ten-year retrospection of the behavior of Russian stock returns," BOFIT Discussion Papers 9/2005, Bank of Finland, Institute for Economies in Transition.
- Constantin Bürgi & Dorine Boumans, 2020. "Categorical Forecasts and Non-Categorical Loss Functions," CESifo Working Paper Series 8266, CESifo.
- Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2011. "Individual exchange rate forecasts and expected fundamentals," ZEW Discussion Papers 11-062, ZEW - Leibniz Centre for European Economic Research.