Spurious regressions in technical trading

DOI10.1016/J.JECONOM.2012.01.019zbMATH Open1443.62372OpenAlexW2007525612MaRDI QIDQ528012FDOQ528012

Authors: Tomoyoshi Yabu, Daisuke Nagakura, Mototsugu Shintani 

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000292

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zbMATH Keywords

random walktechnical analysisnonstationary time seriesefficient market hypothesis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS

Cited In (4)

• On the spurious correlation between sample betas and mean returns
• Decision trees unearth return sign predictability in the S\&P 500
• Spurious forecasts?
• Forecasting Japanese inflation with a news-based leading indicator of economic activities

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