A Multivariate Nonparametric Test for Return and Volatility Timing
2004-07-05
Research Paper
| Related Files |
|---|
View PDF Version
(AMultivariate_2004.pdf, 0.2MB) |
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
Classifications using
Journal of Economic Literature (JEL) Classification System
- C52 : Model Evaluation and Testing
- C53 : Forecasting and Other Model Applications
- G14 : Information and Market Efficiency; Event Studies
- C22 : Time-Series Models; Dynamic Quantile Regressions
- C14 : Semiparametric and Nonparametric Methods
- G12 : Asset Pricing
Automatically Extracted Terms
- forecast
- return
- volatility
- timing
- table
- market
- market timing
- statistic
- v olt
- p-value
- hm test statistic
- equation
- period
- volatility forecasts
- value
- probability
- 0.0000
- contingency
- coefficient
- test statistic
