Christoffersen, Peter F.; Diebold, Francis X. - Department of Economics, University of Pennsylvania - 2003
the relationships in detail. Among other things, we show that (a) Volatility dependence produces sign dependence, so long … as expected returns are nonzero, so that one should expect sign dependence, given the overwhelming evidence of volatility … of sign dependence and volatility dependence; (c) Sign dependence is not likely to be found via analysis of sign …