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||marketing timing, nonparametric, predictability of stock returns and volatility, realized volatility|
|Persistent URL||dx.doi.org/10.1016/j.frl.2004.07.002, hdl.handle.net/1765/12628|
|Series||ERIM Article Series (EAS)|
|Journal||Finance Research Letters|
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