Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
收藏NBER2003-10-01 更新2025-01-04 收录
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https://www.nber.org/papers/w10009
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2003-10-01
