volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …

individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …

volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new …, risk-parity based approach to determine each model's accuracy. I find that traditional, sample covariance methods perform …

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the … correlated portfolios, relatively to fractional Kelly and full Kelly strategies. Our strategy reduce the short-term risk without … sacrificing growth rate to invest proportion in risk free assets. Simulation results and China commodity futures empirical results …

in relation to different strategies including momentum volatility scaling, risk-based asset allocation, time series … and active management. The paper addresses this direction by introducing the volatility-timed winners approach that … momentum and MSCI momentum indexes. The corresponding analysis generalized existing volatility scaling strategies and brought …

This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious … distributions. Third, we use multivariate Student t-copula to construct the precious metal portfolio risk dependence structure …. Finally, we simulate 10,000 portfolios and estimate value at risk (VaR) and Expected shortfall (ES). The empirical results …

wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV …

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …