Christoffersen, Peter F. (contributor); … - 2003
-of-Change
Forecasting and Volatility
Peter F. Christoffersen
Francis X. Diebold
05 …-04
Financial Asset Returns,
Direction-of-Change Forecasting, and Volatility Dynamics
Peter F. Christoffersen Francis X. Diebold … mean that an asset return’s
conditional mean does not vary with the conditioning information set. Asset return forecasting …