Runs tests for assessing volatility forecastability in financial time series

DOI10.1016/J.EJOR.2004.01.003zbMATH Open1066.91037OpenAlexW2087951559MaRDI QIDQ704067FDOQ704067

Authors: Fabio Bellini, Gianna Figà-Talamanca 

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.003

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zbMATH Keywords

Persistence measuresRuns testVolatility forecasting

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Markov and semi-Markov decision processes (90C40)

Cites Work

• Title not available (Why is that?)
• Modeling and Forecasting Realized Volatility
• Title not available (Why is that?)
• Title not available (Why is that?)
• Combinatorial extreme value distributions
• Formulae and recursions for the joint distributions of success runs of several lengths in a two-state Markov chain
• Title not available (Why is that?)
• An application of the method of finite Markov chain imbedding to runs tests
• DETECTING AND MODELING TAIL DEPENDENCE
• A POWER FUNCTION FOR TESTS OF RANDOMNESS IN A SEQUENCE OF ALTERNATIVES

Cited In (4)

• A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns
• Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns
• Are the least successful traders those most likely to exit the market? A survival analysis contribution to the efficient market debate
• Forecasting the volatility of crude oil futures using intraday data

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