Market timing: recent development and a new test

DOI10.1016/j.econlet.2011.01.006zbMath1215.91066OpenAlexW2008534201MaRDI QIDQ547079

Cheng Chou, Chia-Shang James Chu

Publication date: 30 June 2011

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.01.006

zbMATH Keywords

discrete autoregressionevent forecastmarket timing test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing independence of two autocorrelated binary time series
• Pitfalls in market timing test
• Testing Dependence Among Serially Correlated Multicategory Variables
• Some Aspects of the Time-Correlation Problem in Regard to Tests of Significance
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