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A quantilogram approach to evaluating directional predictability

Linton, Oliver and Whang, Yoon-Jae (2003) A quantilogram approach to evaluating directional predictability. Econometrics; EM/2003/463 (EM/03/463). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference, propose some model free upper bound critical values, and apply our methods to stock index return data. The empirical results suggest some directional predictability in returns, especially in mid-range quantiles like 5%-10%.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2003 the authors
Divisions: Financial Markets Group
Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
Date Deposited: 27 Apr 2007
Last Modified: 13 Sep 2024 19:49
URI: http://eprints.lse.ac.uk/id/eprint/2112

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