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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

Conditional correlations and volatility spillovers between crude oil and stock index returns

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: The North American journal of economics and finance : a … 25 (2013), pp. 116-138

Persistent link: https://www.econbiz.de/10009777824

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - 2018

Persistent link: https://www.econbiz.de/10011920696

The impact of China on stock return and volatility

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10010354381

Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks

Chang, Chia-Lin - 2009

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil … be quite low using the CCC model, while the VARMA-GARCH and VARMA-AGARCH models suggest no significant volatility …

Persistent link: https://www.econbiz.de/10013159693