Matallin-Saez, Juan - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 4, pp. 1498-1498
Nonlinearity in the relationship between mutual funds and market returns is often assumed when market timing is assessed. Hence, a quadratic term is introduced into the classic linear model to measure market timing. However, nonlinearity could be due to other factors and the evidence of market...