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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

Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan

Chang, Chia-Lin; McAleer, Michael - In: The Korean economic review 50 (2009) 2, pp. 241-267

Persistent link: https://www.econbiz.de/10003926815

Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan

Chang, Chia-Lin; McAleer, Michael - 2009

Persistent link: https://www.econbiz.de/10003910516

Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Chang, Chia-Lin - 2009

Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …

Persistent link: https://www.econbiz.de/10013154681

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, Chia-Lin - 2010

their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the … whether alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the … conditional mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation …

Persistent link: https://www.econbiz.de/10013147805