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Investors' uncertainty and forecasting stock market volatility

Liu, Ruipeng; Gupta, Rangan - In: The journal of behavioral finance : a publication of … 23 (2022) 3, pp. 327-337

Persistent link: https://www.econbiz.de/10013353013

Time series momentum and reversal : intraday information from realized semivariance

Liu, Zhenya; Lu, Shanglin; Li, Bo; Wang, Shixuan - In: Journal of empirical finance 72 (2023), pp. 54-77

Persistent link: https://www.econbiz.de/10014476799

Extrapolative asset pricing

Li, Kai; Liu, Jun - In: Journal of economic theory 210 (2023), pp. 1-47

Persistent link: https://www.econbiz.de/10014422547

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

Asymetric Dependence in Finance : Diversification, Correlation and Portfolio Management in Market Downturns

Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018

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

Persistent link: https://www.econbiz.de/10011841506

Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns

Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018

"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...