A Multivariate Nonparametric Test for Return and Volatility Timing

Marquering, Wessel; Verbeek, Marno

doi:10.1016/j.frl.2004.07.002

W.A. Marquering (Wessel) and M.J.C.M. Verbeek (Marno)

2004-12-01

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.

Additional Metadata
Keywords	marketing timing, nonparametric, predictability of stock returns and volatility, realized volatility
Persistent URL	doi.org/10.1016/j.frl.2004.07.002, hdl.handle.net/1765/12628
Series	ERIM Article Series (EAS)
Journal	Finance Research Letters
Organisation	Erasmus Research Institute of Management
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	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

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