| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10009 |
| 来源ID | Working Paper 10009 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics | |
| Peter F. Christoffersen; Francis X. Diebold | |
| 发表日期 | 2003-10-06 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | We consider three sets of phenomena that feature prominently and separately in the financial economics literature: conditional mean dependence (or lack thereof) in asset returns, dependence (and hence forecastability) in asset return signs, and dependence (and hence forecastability) in asset return volatilities. We show that they are very much interrelated, and we explore the relationships in detail. Among other things, we show that: (a) Volatility dependence produces sign dependence, so long as expected returns are nonzero, so that one should expect sign dependence, given the overwhelming evidence of volatility dependence; (b) The standard finding of little or no conditional mean dependence is entirely consistent with a significant degree of sign dependence and volatility dependence; (c) Sign dependence is not likely to be found via analysis of sign autocorrelations, runs tests, or traditional market timing tests, because of the special nonlinear nature of sign dependence; (d) Sign dependence is not likely to be found in very high-frequency (e.g., daily) or very low-frequency (e.g., annual) returns; instead, it is more likely to be found at intermediate return horizons; (e) Sign dependence is very much present in actual U.S. equity returns, and its properties match closely our theoretical predictions; (f) The link between volatility forecastability and sign forecastability remains intact in conditionally non-Gaussian environments, as for example with time-varying conditional skewness and/or kurtosis. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w10009 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567633 |
| 推荐引用方式 GB/T 7714 | Peter F. Christoffersen,Francis X. Diebold. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10009.pdf（1006KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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