Christoffersen, Peter F.; Diebold, Francis X. - In: Management Science 52 (2006) 8, pp. 1273-1287
We consider three sets of phenomena that feature prominently in the financial economics literature: (1) conditional mean dependence (or lack thereof) in asset returns, (2) dependence (and hence forecastability) in asset return signs, and (3) dependence (and hence forecastability) in asset return...