refinement of this simple idea. Instead of the momentum the implied-volatility-term-structure (IVTS) is used as a selection …

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

-- References -- Further Reading -- Chapter 4: Misspecification in an Asymmetrically Dependent World: Implications for Volatility …

VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that …