Direction-of-change forecasts for Asian equity markets based on conditional variance, skewness and Kurtosis dynamics: International evidence

• Main Authors: Christoffersen, Peter F., Diebold, Francis X., Mariano, Robert S., Tay, Anthony S., Tse, Yiu Kuen
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: Volatility; variance; skewness; kurtosis; market timing; asset management; asset allocation; portfolio management; Econometrics; Finance
• Online Access: https://ink.library.smu.edu.sg/soe_research/874; https://ink.library.smu.edu.sg/context/soe_research/article/1873/viewcontent/Direction_of_ChangeForecastsConditionalVar_2007_wp_SOE.pdf
• Institution: Singapore Management University

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...