A Multivariate Nonparametric Test for Return and Volatility Timing


Article
volume 1, issue 4 pp 250-260.
This publication is part of collection
Repository contains one file which is not publicly available

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