(The following paper can be viewed or downloaded in Acrobat
format.)
"A Quantilogram Approach to Evaluating Directional Predictability"
(Y Whang)
We propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability.
The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference, propose some model free upper
bound critical values, and apply our methods to stock index return data. The empirical results suggests some directional predictability in returns especially in mid range quantiles like 5%-10%.
Revised November, 2004
format.)