Christoffersen, Peter F. (contributor); … - 2003
No. 2004/08
Financial Asset Returns, Direction-of-Change
Forecasting, and Volatility Dynamics …-of-Change
Forecasting, and Volatility Dynamics
*
Peter F. Christoffersen
g167
and Francis X. Diebold
g170
September 2003
Abstract … explore the relationships in detail. Among other things, we show that: (a) Volatility
dependence produces sign dependence, so …