Search Results - subject:"volatility timing"

Is there a green fund premium? : evidence from twenty seven emerging markets

Naqvi, Bushra; Mirza, Nawazish; Rizvi, Kumail Abbas; … - In: Global finance journal 50 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013365673

Price reaction, volatility timing and funds' performance during Covid-19

Mirza, Nawazish; Naqvi, Bushra; Rahat, Birjees; Rizvi, … - In: Finance research letters 36 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012484196

Disentangling the role of variance and covariance information in portfolio selection problems

Santos, André A. P. - In: Quantitative finance 19 (2019) 1, pp. 57-76

Persistent link: https://www.econbiz.de/10012194620

The role of time-varying return forecasts for improving international diversification benefits

Miralles-Quirós, María del Mar; Miralles-Quirós, … - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 201-215

Persistent link: https://www.econbiz.de/10011960294

Mutual fund managers' timing abilities

Liao, Li; Zhang, Xueyong; Zhang, Yeqing - In: Pacific-Basin finance journal 44 (2017), pp. 80-96

Persistent link: https://www.econbiz.de/10011800744

Volatility timing and portfolio selection: How best to forecast volatility

Clements, Adam E; Silvennoinen, Annastiina - National Centre for Econometric Research (NCER) - 2011

Within the context of volatility timing and portfolio selection this paper considers how best to estimate a volatility …

Persistent link: https://www.econbiz.de/10009645704

The Greek equity market in European equity portfolios

Vortelinos, Dimitrios I. - In: Economic modelling 49 (2015), pp. 144-153

Persistent link: https://www.econbiz.de/10011439510

Structural VAR approach to mutual fund cash flows : net flows, inflows, and outflows

Ha, Yeonjeong; Lee, Bong-soo; Paek, Miyoun; Ko, Kwangsoo - In: Asia-Pacific journal of financial studies 44 (2015) 1, pp. 59-87

Persistent link: https://www.econbiz.de/10011458876

Modeling time-varying skewness via decomposition for out-of-sample forecast

Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311

Persistent link: https://www.econbiz.de/10011474059

The Economic Value of Volatility Timing in the Athens Stock Exchange

Vortelinos, Dimitrios - Department of Economics, University of Peloponnese - 2009

volatility timing. There are used three types of portfolios: Global Minimum Variance, Capital Market Line kai Capital Market Line … estimators but also the comparison of different types of portfolios, in the strategy of volatility timing. The economic value of … squared returns. Moreover, the economic value of each estimator changes with the volatility timing. …

Persistent link: https://www.econbiz.de/10008461727