A new tight and general bound on return predictability

DOI10.1016/J.ECONLET.2017.11.010MaRDI QIDQ1787253zbMATH OpenOpenAlexFDO

Authors Valerio Potì

Publication date 5 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2017.11.010

zbMATH Keywords

currency strategiesmarket efficiencypredictability bounds

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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• scientific article; zbMATH DE number 41029 (Why is no real title available?)

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(6)

• Measuring excess-predictability of asset returns and market efficiency over time
• Long horizon predictability: an asset allocation perspective
• Short term prediction of extreme returns based on the recurrence interval analysis
• Penetrating sporadic return predictability
• Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
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