We propose a joint modeling strategy for timing the joint distribution of the returns and their volatility. We do this … volatility, allowing for asymmetric cross-correlations, denoted as instantaneous leverage effects, in addition to cross …-autocorrelations between returns and volatility, denoted as intertemporal leverage effects. We show that while the conventional intertemporal …

than single profits. At the same time, the size of the single profits is on average much higher than the size of single …

return predictability, long-term investors should not hold more stocks and should not time the market more aggressively than …