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

DOI10.1080/02664763.2013.818624MaRDI QIDQ5129130zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• On a measure of lack of fit in time series models
• Ranking efficiency for emerging markets

Cited in

(3)

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

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