Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns

DOI10.1080/02664763.2013.818624OpenAlexW2125720414MaRDI QIDQ5129130FDOQ5129130

Authors: Alexandros E. Milionis, Evangelia Papanagiotou 

Publication date: 26 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: http://www.bankofgreece.gr/BogEkdoseis/Paper2011134.pdf

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zbMATH Keywords

technical analysismarket efficiencyNew York Stock ExchangeAthens Stock Exchangepredictive performance of moving average trading rulesVienna Stock Exchange

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• On a measure of lack of fit in time series models
• Efficient Tests for an Autoregressive Unit Root
• Ranking efficiency for emerging markets

Cited In (3)

• Detailed study of a moving average trading rule
• Theoretical and practical motivations for the use of the moving average rule in the stock market
• Estimating the out-of-sample predictive ability of trading rules: a robust bootstrap approach

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