Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
نویسندگان
چکیده
منابع مشابه
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
W consider three sets of phenomena that feature prominently in the financial economics literature: (1) conditional mean dependence (or lack thereof) in asset returns, (2) dependence (and hence forecastability) in asset return signs, and (3) dependence (and hence forecastability) in asset return volatilities. We show that they are very much interrelated and explore the relationships in detail. A...
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ژورنال
عنوان ژورنال: Management Science
سال: 2006
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.1060.0520