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

Department of Finance

Research output: Contribution to journal › Journal article › Research › peer-review

Abstract

Udgivelsesdato: fall

Original language	English
Journal	Journal of Financial Forecasting
Volume	1
Issue number	2
Pages (from-to)	1-22
Number of pages	22
ISSN	1753-9552
Publication status	Published - 2007

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@article{a48de820ac8a11dc9bb5000ea68e967b,

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",

number = "2",

}

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 -