Market timing: Recent development and a new test |
| |
Authors: | Cheng ChouChia-Shang J. Chu |
| |
Affiliation: | National School of Development, China Center for Economic Research, Peking University, Beijing, China |
| |
Abstract: | Henriksson-Merton's market timing test suffers nontrivial size distortion when the event forecast is autocorrelated. A new test is suggested to detect the dependence of two autocorrelated binary time series. It complements the existing tests due to better test power. |
| |
Keywords: | C12 C35 C53 |
本文献已被 ScienceDirect 等数据库收录! |