A quantilogram approach to evaluating directional predictability

Oliver Linton and Yoon-Jae Whang

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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%.

Keywords: Correlogram; dependence; efficient markets; quantiles. (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 C22 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2003-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://eprints.lse.ac.uk/2112/ Open access version. (application/pdf)

Related works:
Working Paper: A Quantilogram Approach to Evaluating Directional Predictability (2004)
Working Paper: A Quantilogram Approach to Evaluating Directional Predictability (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2112

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