Showing 1 - 10 of 502
Persistent link: https://www.econbiz.de/10009619566
Persistent link: https://www.econbiz.de/10009767006
Persistent link: https://www.econbiz.de/10009562985
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
Persistent link: https://www.econbiz.de/10011504522
degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …
Persistent link: https://www.econbiz.de/10011553303
Persistent link: https://www.econbiz.de/10011795307
Persistent link: https://www.econbiz.de/10011920696
Persistent link: https://www.econbiz.de/10008669930
Persistent link: https://www.econbiz.de/10008689075