Runs tests for assessing volatility forecastability in financial time series

DOI10.1016/J.EJOR.2004.01.003MaRDI QIDQ704067zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Persistence measuresRuns testVolatility forecasting

Mathematics Subject Classification ID

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

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• A POWER FUNCTION FOR TESTS OF RANDOMNESS IN A SEQUENCE OF ALTERNATIVES
• An application of the method of finite Markov chain imbedding to runs tests
• Combinatorial extreme value distributions
• DETECTING AND MODELING TAIL DEPENDENCE
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• Modeling and Forecasting Realized Volatility

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• Forecasting the volatility of crude oil futures using intraday data
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• Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns

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