smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2010SMQ / 109319630150129
On the Difficulty of Measuring Forecasting Skill in Financial Markets
Satchell, S. / Williams, O.J.
financial economicsResource overview

On the Difficulty of Measuring Forecasting Skill in Financial Markets

Paper2010

by Satchell, S., Williams, O.J.

Tags
financial economics

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for financial time series and asset pricing and factor research. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  3. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. Factor construction

    Connect factor definitions to portfolio construction.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Econometrics and Financial Time Series Explore Empirical Asset Pricing and Factor Investing

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Satchell, S., Williams, O.J.

2