Financial asset returns, direction-of-change forecasting, and volatility dynamics

Management Science

Volumn 52, Issue 8, 2006, Pages 1273-1287

  Christoffersen, Peter F ^a,b   Diebold, Francis X ^c,d  

^a MCGILL UNIVERSITY   (Canada)

^b CIRANO   (Canada)

^c UNIVERSITY OF PENNSYLVANIA   (United States)

^d NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Market timing; Prediction; Return sign dependence

Indexed keywords

MARKET TIMING; PREDICTION; RETURN SIGN DEPENDENCE;

ECONOMICS; FORECASTING; MARKETING; NONLINEAR SYSTEMS; STATISTICAL METHODS;

BUDGET CONTROL;

EID: 33748291457     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1060.0520     Document Type: Article

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