| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5060508 | Economics Letters | 2011 | 5 Pages |
Abstract
âºHM's market timing test suffers wrong size when the event forecast is autocorrelated. âºConsequently, there is a potential danger of finding spurious timing ability. âºA new test is proposed to detect the dependence of two autocorrelated 0-1 time series with controlled size. âºThis new test can complement the existing tests due to its better test power.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Cheng Chou, Chia-Shang J. Chu,