Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

Peter F. Christoffersen
Peter F. Christoffersen
[email protected]
Faculty of Management, McGill University, 1001 Sherbrooke Street West, Montreal, Quebec, Canada H3A 1G5 and Centre for Interuniversity Research and Analysis on Organizations (CIRANO), Montreal, Quebec, Canada
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,
Francis X. Diebold
Francis X. Diebold
[email protected]
Department of Economics, University of Pennsylvania, 3718 Locust Walk, Philadelphia, Pennsylvania 19104-6297 and National Bureau of Economic Research, Cambridge, Massachusetts
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Faculty of Management, McGill University, 1001 Sherbrooke Street West, Montreal, Quebec, Canada H3A 1G5 and Centre for Interuniversity Research and Analysis on Organizations (CIRANO), Montreal, Quebec, Canada

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Francis X. Diebold

[email protected]

Department of Economics, University of Pennsylvania, 3718 Locust Walk, Philadelphia, Pennsylvania 19104-6297 and National Bureau of Economic Research, Cambridge, Massachusetts

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Published Online:1 Aug 2006https://doi.org/10.1287/mnsc.1060.0520

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Volume 52, Issue 8

August 2006

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Received:February 25, 2004
Published Online:August 01, 2006

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Peter F. Christoffersen, Francis X. Diebold, (2006) Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. Management Science 52(8):1273-1287.

https://doi.org/10.1287/mnsc.1060.0520

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Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

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