Financial asset returns, direction-of-change forecasting, and volatility dynamics
By: Peter F. Christoffersen, Francis X. Diebold.
Contributors: Diebold, Francis X., 1959-; National Bureau of Economic Research.
Series: NBER working paper series -- no. 10009.; Working paper series (National Bureau of Economic Research) -- working paper no. 10009.
Publisher: National Bureau of Economic Research
Published: 2003
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 21
Subjects: Securities -- Prices -- Mathematical models; Investments -- Mathematical models; Risk -- Mathematical models
Notes: "September 2003."

Includes bibliographical references.

Also available in PDF from the NBER world wide web site (www.nber.org).