- 期刊
- OpenAccess
Unexpected Features of Financial Time Series: Higher-Order Anomalies and Predictability
並列摘要
Examining the daily Dow Jones Industrial Average (DJI) we find evidence both of higher-order anomalies and predictability. While most researchers are only aware of the relatively harmless anomalies that occur just in the mean, the first part of this article provides empirical evidence of more dangerous kinds of anomalies occurring in higher-order moments. This evidence casts some doubt on the common practice of fitting standard time series models (e.g., ARMA models, GARCH models, or stochastic volatility models) to financial time series and carrying out tests based upon autocorrelation coefficients without making proper provision for these anomalies. The second part of this article provides evidence in favor of the predictability of the returns on the DJI and, more interestingly, against the efficient market hypothesis. The special value of this evidence is due to the simplicity of the involved methods.
延伸閱讀
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