| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5061035 | Economics Letters | 2009 | 4 Pages |
Abstract
Henriksson and Merton's market timing test suffers nontrivial size distortion when the observations are serially dependent sequences. Potential danger of finding spurious timing ability can be avoided by implementing a Markov regression that includes the lagged dependent variables as additional explanatory variables.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Chia-Shang Chu, Liping Lu, Zhentao Shi,