In this work we refine a nonparametric methodology firstly applied in Christoffersen and Diebold [Review of Economics and Statistics 82 (2000) 12] for assessing volatility forecastability in financial time series based on discretization and on the use of runs tests. Empirical results are provided for SP500 and MIB30 indexes that lead naturally to a discretized one-period Markov chain. The results are confirmed with other persistence measures and their robustness is studied via numerical simulation. (C) 2004 Elsevier B.V. All rights reserved.

Bellini, F., & Figa Talamanca, G. (2005). Runs tests for assessing volatility forecastability in financial time series. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 163(1), 102-114 [10.1016/j.ejor.2004.01.003].

Runs tests for assessing volatility forecastability in financial time series

BELLINI, FABIO;
2005

Abstract

In this work we refine a nonparametric methodology firstly applied in Christoffersen and Diebold [Review of Economics and Statistics 82 (2000) 12] for assessing volatility forecastability in financial time series based on discretization and on the use of runs tests. Empirical results are provided for SP500 and MIB30 indexes that lead naturally to a discretized one-period Markov chain. The results are confirmed with other persistence measures and their robustness is studied via numerical simulation. (C) 2004 Elsevier B.V. All rights reserved.
Articolo in rivista - Articolo scientifico
volatility forecasting; runs test; persistence measures
English
102
114
Bellini, F., & Figa Talamanca, G. (2005). Runs tests for assessing volatility forecastability in financial time series. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 163(1), 102-114 [10.1016/j.ejor.2004.01.003].
Bellini, F; Figa Talamanca, G
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/822
Citazioni
  • Scopus 10
  • ???jsp.display-item.citation.isi??? 9
Social impact