Similar Search Results

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

Asymmetry and leverage in realized volatility

Asai, Manabu (contributor); McAleer, Michael (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003780794

Multivariate stochastic volatility : an overview

Maasoumi, Esfandiar; McAleer, Michael - In: Econometric reviews 25 (2006) 2/3, pp. 139-144

Persistent link: https://www.econbiz.de/10003355701

Multivariate stochastic volatility : a review

Asai, Manabu; McAleer, Michael; Yu, Jun - In: Econometric reviews 25 (2006) 2/3, pp. 145-175

Persistent link: https://www.econbiz.de/10003355704

Asymmetric multivariate stochastic volatility

Asai, Manabu; McAleer, Michael - In: Econometric reviews 25 (2006) 2/3, pp. 453-473

Persistent link: https://www.econbiz.de/10003355815

Pricing options by simulation using realized volatility

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2009

Persistent link: https://www.econbiz.de/10003869596

Non-trading day effects in asymmetric conditional and stochastic volatility models

Asai, Manabu; McAleer, Michael - In: The econometrics journal 10 (2007) 1, pp. 113-123

Persistent link: https://www.econbiz.de/10003451750

Block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008688575

Asymmetry and long memory in volatility modelling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.

Persistent link: https://www.econbiz.de/10008695596

Alternative asymmetric stochastic volatility models

Asai, Manabu; McAleer, Michael - 2010

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based … between the innovations in returns and volatility. The new model is estimated by the efficient importance sampling method of …

Persistent link: https://www.econbiz.de/10008839880