Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
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KeywordsVolatility; variance; skewness; kurtosis; market timing; asset management; asset allocation; portfolio management.;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-09-30 (All new papers)
- NEP-ECM-2006-09-30 (Econometrics)
- NEP-ETS-2006-09-30 (Econometric Time Series)
- NEP-FIN-2006-09-30 (Finance)
- NEP-FMK-2006-09-30 (Financial Markets)
- NEP-FOR-2006-09-30 (Forecasting)
- NEP-RMG-2006-09-30 (Risk Management)
- NEP-SEA-2006-09-30 (South East Asia)
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