论文信息 - A Multivariate Nonparametric Test for Return and Volatility Timing

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.

Marno Verbeek | M. Verbeek | W. Marquering | Wessel Marquering

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