Test for Market Timing Using Daily Fund Returns

DOI10.1080/07350015.2021.2006670MaRDI QIDQ6586898zbMATH OpenFDO

Authors Wei-min Liu, Liang Peng

Publication date 13 August 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2021.2006670

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Regular variation of GARCH processes.
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

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