A Multivariate Nonparametric Test for Return and Volatility Timing

WA (Wessel) Marquering; Marno Verbeek

doi:10.1016/j.frl.2004.07.002

A Multivariate Nonparametric Test for Return and Volatility Timing

WA (Wessel) Marquering, Marno Verbeek

Department of Finance

Research output: Contribution to journal › Article › Academic › peer-review

3 Citations (Scopus)

Abstract

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 language	Undefined/Unknown
Pages (from-to)	250-260
Number of pages	11
Journal	Finance Research Letters
Volume	1
Issue number	3
DOIs	https://doi.org/10.1016/j.frl.2004.07.002
Publication status	Published - 2004

Research programs

RSM F&A

Access to Document

10.1016/j.frl.2004.07.002

http://hdl.handle.net/1765/12628

Cite this

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title = "A Multivariate Nonparametric Test for Return and Volatility Timing",

abstract = "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.",

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AU - Verbeek, Marno

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DO - 10.1016/j.frl.2004.07.002

M3 - Article

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JF - Finance Research Letters

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