کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9663900 1446248 2005 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Runs tests for assessing volatility forecastability in financial time series
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Runs tests for assessing volatility forecastability in financial time series
چکیده انگلیسی
In this work we refine a nonparametric methodology firstly applied in Christoffersen and Diebold [Review of Economics and Statistics 82 (2000) 12] for assessing volatility forecastability in financial time series based on discretization and on the use of runs tests. Empirical results are provided for SP500 and MIB30 indexes that lead naturally to a discretized one-period Markov chain. The results are confirmed with other persistence measures and their robustness is studied via numerical simulation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 163, Issue 1, 16 May 2005, Pages 102-114
نویسندگان
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