Showing 1 - 4 of 4
This paper proposes a method for generating unbiased predictors of downside and tail volatility for individual mutual funds, using theoretical market state prices and applying these to fund payoffs. The method is validated as a predictor of market downside and tail volatility. The Fund...
Persistent link: https://www.econbiz.de/10012979885
Persistent link: https://www.econbiz.de/10011583138
Persistent link: https://www.econbiz.de/10011798964
Persistent link: https://www.econbiz.de/10009514541