Thomakos, Dimitrios D.; Wang, Tao - In: Journal of Empirical Finance 17 (2010) 1, pp. 102-119
This paper examines the probability of returns exceeding a threshold, extending earlier work of Christoffersen and Diebold (2006) on volatility dynamics and sign predictability. We find that the choice of the threshold matters and that a zero threshold (leading to sign predictions) does not lead...