A Multivariate Nonparametric Test for Return and Volatility Timing

This paper develops a novel approach to simultaneously test for market timing in stock index returns and volatility. The tests are based on the estimation of a system of regression equations with indicator variables and provide detailed information about the statistical significance of alternative market timing components

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Year of publication:	[2004]
Authors:	Marquering, Wessel A.
Other Persons:	Verbeek, Marno (contributor)
Publisher:	[2004]: [S.l.] : SSRN

Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 5, 2004 erstellt
Other identifiers:	10.2139/ssrn.598862 [DOI]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012737885