This paper discusses the joint unpredictability of asset returns on two markets. It provides a necessary condition for joint unpredictability in term of distance between information sets. We conclude that the joint unpredictability requires a condition very strong and so, in this sense, it represents a ‘‘singularity’’. The result should give a theoretical support to the empirical evidence in favor of the predictability of the returns.

Interpreting the concept of joint unpredictability of asset returns: a distance approach

TRIACCA, UMBERTO
2006-01-01

Abstract

This paper discusses the joint unpredictability of asset returns on two markets. It provides a necessary condition for joint unpredictability in term of distance between information sets. We conclude that the joint unpredictability requires a condition very strong and so, in this sense, it represents a ‘‘singularity’’. The result should give a theoretical support to the empirical evidence in favor of the predictability of the returns.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/19063
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