Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper, we extend the stochastic volatility (SV) model for...

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...