A Multivariate Nonparametric Test for Return and Volatility Timing
This paper develops a novel approach to simultaneously test for market timing in stock index returns and volatility. The tests are based on the estimation of a system of regression equations with indicator variables and provide detailed information about the statistical significance of alternative market timing components.
|Keywords||market timing, nonparametric, predictability of stock returns and volatility, realized volatility|
Marquering, W.A., & Verbeek, M.J.C.M.. (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Retrieved from http://hdl.handle.net/1765/12675