Market timing: Recent development and a new test

Henriksson-Merton's market timing test suffers nontrivial size distortion when the event forecast is autocorrelated. A new test is suggested to detect the dependence of two autocorrelated binary time series. It complements the existing tests due to better test power.

MoreLess

Year of publication:	2011
Authors:	Chou, Cheng ; Chu, Chia-Shang J.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 111.2011, 2, p. 105-109
Publisher:	Elsevier
Keywords:	Event forecast Market timing test Discrete autoregression

More details

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

Persistent link: https://www.econbiz.de/10009018783