Interpreting the concept of joint unpredictability of asset returns: A distance approach

This paper discusses the joint unpredictability of asset returns on two markets. It provides a necessary condition for joint unpredictability in term of distance between information sets. We conclude that the joint unpredictability requires a condition very strong and so, in this sense, it represents a “singularity”. The result should give a theoretical support to the empirical evidence in favor of the predictability of the returns.

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Year of publication:	2006
Authors:	Focker, Fulvia ; Triacca, Umberto
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 369.2006, 2, p. 765-770
Publisher:	Elsevier
Subject:	Asset returns \| Distance \| Time series

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011064388