Financial Asset Returns, Market Timing, and Volatility Dynamics
نویسندگان
چکیده
منابع مشابه
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
W consider three sets of phenomena that feature prominently in the financial economics literature: (1) conditional mean dependence (or lack thereof) in asset returns, (2) dependence (and hence forecastability) in asset return signs, and (3) dependence (and hence forecastability) in asset return volatilities. We show that they are very much interrelated and explore the relationships in detail. A...
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partielle permise avec citation du document source, incluant la notice ©. Short sections may be quoted without explicit permission, if full credit, including © notice, is given to the source. Ce document est publié dans l'intention de rendre accessibles les résultats préliminaires de la recherche effectuée au CIRANO, afin de susciter des échanges et des suggestions. Les idées et les opinions ém...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.306127