A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests

DOI10.1080/14697688.2014.1002419zbMath1398.62307OpenAlexW1969428964MaRDI QIDQ4683081

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Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.1002419

zbMATH Keywords

Monte Carlo experimentpanel datamarket efficiencywild bootstrapFama-French portfolios

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Portfolio theory (91G10)

Related Items (1)

Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities

Uses Software

• R
• vrtest

Cites Work

• Unnamed Item
• Generalized spectral tests for the martingale difference hypothesis
• A simple multiple variance ratio test
• Wild bootstrapping variance ratio tests
• Bootstrap and wild bootstrap for high dimensional linear models
• Do industries contain predictive information for the Fama–French factors?
• A Reality Check for Data Snooping
• Financial markets as nonlinear adaptive evolutionary systems
• Empirical properties of asset returns: stylized facts and statistical issues
• Common risk factors in the returns on stocks and bonds

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