Financial asset returns, direction-of-change forecasting and volatility dynamics

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Financial asset returns, direction-of-change forecasting and volatility dynamics (2003)

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by Peter F. Christoffersen , Francis X. Diebold

Citations:

33 - 3 self

BibTeX

@TECHREPORT{Christoffersen03financialasset,
    author = {Peter F. Christoffersen and Francis X. Diebold},
    title = {Financial asset returns, direction-of-change forecasting and volatility dynamics},
    institution = {},
    year = {2003}
}

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Abstract

informs doi 10.1287/mnsc.1060.0520

Keyphrases

volatility dynamic direction-of-change forecasting financial asset return