Pitfalls in market timing test

DOI10.1016/J.ECONLET.2009.01.034zbMath1181.62173OpenAlexW1966181388MaRDI QIDQ1046178

Chia-Shang Chu, Liping Lu, Zhentao Shi

Publication date: 21 December 2009

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2009.01.034

zbMATH Keywords

spurious regressionmarket timing testMarkov regression

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Market timing: recent development and a new test

Cites Work

• Estimation of copula-based semiparametric time series models
• Spurious regressions in econometrics
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• Asymptotic Inference about Predictive Ability
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