A Multivariate Nonparametric Test for Return and Volatility Timing

Marquering, Wessel; Verbeek, Marno

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	market timing, nonparametric, predictability of stock returns and volatility, realized volatility
JEL	Semiparametric and Nonparametric Methods (jel C14), Time-Series Models; Dynamic Quantile Regressions (jel C22), Model Evaluation and Testing (jel C52), Forecasting and Other Model Applications (jel C53), Asset Pricing (jel G12), Information and Market Efficiency; Event Studies (jel G14)
Persistent URL	hdl.handle.net/1765/12675
Organisation	Rotterdam School of Management (RSM), Erasmus University
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., & Verbeek, M. (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Retrieved from http://hdl.handle.net/1765/12675

Free Full Text ( Final Version , 187kb )

A Multivariate Nonparametric Test for Return and Volatility Timing

Publication

Publication

About

A Multivariate Nonparametric Test for Return and Volatility Timing

Publication

Publication

Workflow

Workflow

Add Content