A Multivariate Nonparametric Test for Return and Volatility Timing
Finance Research Letters , Volume 1 - Issue 4 p. 250- 260
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.
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Marquering, W.A, & Verbeek, M.J.C.M. (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, 1(4), 250–260. doi:10.1016/j.frl.2004.07.002