A multivariate nonparametric test for return and volatility timing

Finance Research Letters

Volumn 1, Issue 4, 2004, Pages 250-260

  Marquering, Wessel ^a   Verbeek, Marno ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Market timing; Nonparametric; Predictability of stock returns and volatility; Realized volatility

Indexed keywords

EID: 8744313049     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2004.07.002     Document Type: Article

References (7)

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