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) |
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| 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: | 11 Dec 2024 18:34 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2112 |
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