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Financial Asset Returns, Market Timing, and Volatility Dynamics

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  • Peter Christoffersen
  • Francis X. Diebold

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  • Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
    • Handle: RePEc:cir:cirwor:2002s-02
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    File URL: https://cirano.qc.ca/files/publications/2002s-02.pdf
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    Citations

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    Cited by:

    1. Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae, 2016. "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series," Journal of Econometrics, Elsevier, vol. 193(1), pages 251-270.
    2. Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1244-1281, November.
    3. Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
    4. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.
    5. repec:wyi:journl:002068 is not listed on IDEAS
    6. Linton, Oliver & Whang, Yoon-Jae, 2003. "A quantilogram approach to evaluating directional predictability," LSE Research Online Documents on Economics 2112, London School of Economics and Political Science, LSE Library.
    7. Jaehun Chung & Yongmiao Hong, 2013. "Model-Free Evaluation of Directional Predictability in Foreign Exchange," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    8. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
    9. Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 39(4), pages 1244-1281, November.

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    More about this item

    Keywords

    Sign prediction; direction of change; volatility timing; investment horizon; prédiction des signes; direction de changement; timing de la volatilité; horizon d'investissement;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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