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

Direction-of-change forecasts for Asian equity markets 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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書目詳細資料
Main Authors:	Christoffersen, Peter F., Diebold, Francis X., Mariano, Robert S., Tay, Anthony S., Tse, Yiu Kuen
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2007
主題:	Volatility variance skewness kurtosis market timing asset management asset allocation portfolio management Econometrics Finance
在線閱讀:	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
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機構:	Singapore Management University
語言:	English

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