A Multivariate Nonparametric Test for Return and Volatility Timing

WA (Wessel) Marquering, Marno Verbeek

Research output: Contribution to journalArticleAcademicpeer-review

3 Citations (Scopus)


This paper develops a novel approach to simultaneously test for market timing in stock index returns and volatility. The tests are based on the estimation of a system of regression equations with indicator variables and provide detailed information about the statistical significance of alternative market timing components.
Original languageUndefined/Unknown
Pages (from-to)250-260
Number of pages11
JournalFinance Research Letters
Issue number3
Publication statusPublished - 2004

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