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~institution:"Department of Economics, University of Pennsylvania"
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and
Kurtosis
Dynamics: International Evidence
Christoffersen, Peter F.
;
Diebold, Francis X.
;
Mariano, …
-
Department of Economics, University of Pennsylvania
-
2006
, but also conditional skewness and
kurtosis
information, when forming direction-of-change forecasts. …
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