Nonparametric Retrospection and Monitoring of Predictability of Financial Returns
Nonparametric Retrospection and Monitoring of Predictability of Financial Returns
复制标题
财务回报可预测性的非参数回顾和监控
DOI：
10.1198/jbes.2009.0010
复制
发表时间：
2007
影响因子：
3
通讯作者：
Stanislav Anatolyev
中科院分区：
文献类型：
--
作者：
Stanislav Anatolyev
我们开发和评估用于财务回报可预测性的一类非参数测试的顺序测试工具，其中特别包括方向准确性和超额盈利能力测试。我们的顺序方法在统一的框架中考虑历史样本的回顾和新到达的数据的监控。为此，我们重点关注线性监测边界，即与回顾性临界值相对应的水平线的延续，详细说明了双边和单边测试。我们进行了一项模拟研究，并通过测试东欧新兴股票市场回报的方向性和平均可预测性来说明该方法。
We develop and evaluate sequential testing tools for a class of nonparametric tests for predictability of financial returns that include, in particular, the directional accuracy and excess profitability tests. Our sequential methods consider in a unified framework both retrospection of a historical sample and monitoring newly arriving data. To this end, we focus on linear monitoring boundaries that are continuations of horizontal lines corresponding to retrospective critical values, elaborating on both two-sided and one-sided testing. We run a simulation study and illustrate the methodology by testing for directional and mean predictability of returns in young stock markets in Eastern Europe.