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.
|market timing, nonparametric, predictability of stock returns and volatility, realized volatility|
|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)|
|Organisation||Rotterdam School of Management (RSM), Erasmus University|
Marquering, W.A, & Verbeek, M.J.C.M. (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Retrieved from http://hdl.handle.net/1765/12675