Financial Asset Returns, Market Timing, and Volatility Dynamics
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More about this item
Keywords
Sign prediction; direction of change; volatility timing; investment horizon; prédiction des signes; direction de changement; timing de la volatilité; horizon d'investissement;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2002-03-14 (Financial Markets)
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