Runs tests for assessing volatility forecastability in financial time series

DOI10.1016/J.EJOR.2004.01.003zbMath1066.91037OpenAlexW2087951559MaRDI QIDQ704067

Gianna Figà-Talamanca, Fabio Bellini

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

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

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Cites Work

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• Formulae and recursions for the joint distributions of success runs of several lengths in a two-state Markov chain
• An application of the method of finite Markov chain imbedding to runs tests
• Combinatorial extreme value distributions
• DETECTING AND MODELING TAIL DEPENDENCE
• Modeling and Forecasting Realized Volatility
• A POWER FUNCTION FOR TESTS OF RANDOMNESS IN A SEQUENCE OF ALTERNATIVES

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