We propose a joint modeling strategy for timing the joint distribution of the returns and their volatility. We do this … volatility, allowing for asymmetric cross-correlations, denoted as instantaneous leverage effects, in addition to cross …-autocorrelations between returns and volatility, denoted as intertemporal leverage effects. We show that while the conventional intertemporal …

The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central …-CPF funds by examining the volatility-timing performance associated with these funds. The volatility-timing ability of CPF funds … to capture the response of funds to market abnormal conditional volatility including the weekday effect. The SMB and HML …

the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are … including payout yields. The second is used to estimate the prevailing volatility. Reward-risk timing with machine learning … presents a unifying framework for machine learning applied to both return- and volatility-timing. …

investor flows. We conclude that fund managers voluntarily attempt to time factors, but they are unsuccessful at doing so. …

fund's forced trading through investor flows. We conclude that fund managers voluntarily attempt to time risk factors, but …

funds do not time the market. This conclusion is robust when controlling for publicly available information in evaluating …

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i … time-variation of the strategies providing a unique explanation for momentum crashes …