Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics: International evidence
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of chang...
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| Main Authors: | , , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/538 https://ink.library.smu.edu.sg/context/soe_research/article/1537/viewcontent/Direction_of_ChangeForecastsAsianEquityMarkets_2006_afv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
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