Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics: International evidence

Peter F. Christoffersen; Francis X. Diebold; Roberto S. Mariano; Anthony S. Tay; Yiu Kuen Tse

Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics: International evidence

Peter F. Christoffersen
, Francis X. Diebold
, Roberto S. Mariano
, Anthony S. Tay
, Yiu Kuen Tse

Institut for Finansiering

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

Abstract

Udgivelsesdato: fall

Originalsprog	Engelsk
Tidsskrift	Journal of Financial Forecasting
Vol/bind	1
Udgave nummer	2
Sider (fra-til)	1-22
Antal sider	22
ISSN	1753-9552
Status	Udgivet - 2007

Bibliografisk note

Løbenr. 071887

Emneord

udenforområde
asset pricing
aktieudbytte
afkast

Handle.net

Persistent link

Citationsformater

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title = "Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics: International evidence",

abstract = "Udgivelsesdato: fall",

keywords = "udenforomr{\aa}de, asset pricing, aktieudbytte, afkast",

author = "Christoffersen, \{Peter F.\} and Diebold, \{Francis X.\} and Mariano, \{Roberto S.\} and Tay, \{Anthony S.\} and Tse, \{Yiu Kuen\}",

note = "L{\o}benr. 071887",

year = "2007",

language = "English",

volume = "1",

pages = "1--22",

journal = "Journal of Financial Forecasting",

issn = "1753-9552",

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TY - JOUR

T1 - Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics

T2 - International evidence

AU - Christoffersen, Peter F.

AU - Diebold, Francis X.

AU - Mariano, Roberto S.

AU - Tay, Anthony S.

AU - Tse, Yiu Kuen

N1 - Løbenr. 071887

PY - 2007

Y1 - 2007

N2 - Udgivelsesdato: fall

AB - Udgivelsesdato: fall

KW - udenforområde

KW - asset pricing

KW - aktieudbytte

KW - afkast

M3 - Journal article

SN - 1753-9552

VL - 1

SP - 1

EP - 22

JO - Journal of Financial Forecasting

JF - Journal of Financial Forecasting

IS - 2

ER -