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Risk on-risk off : a regime switching model for active portfolio management
Dapena, José P.; Serur, Juan Andrés; Siri, Julián R. - 2019
which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …
Persistent link: https://www.econbiz.de/10012146691
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Combining momentum, value, and quality for the Islamic equity portfolio : multi-style rotation strategies using augmented Black Litterman factor model
Dewandaru, Ginanjar; Masih, Rumi; Obiyathulla Ismath Bacha - In: Pacific-Basin finance journal 34 (2015), pp. 205-232
Persistent link: https://www.econbiz.de/10011533242
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Forecasting portfolio balance using return mean, standard deviation and spending
Haber, Jeffry R.; Braunstein, Andrew W. - In: International journal of financial research 7 (2016) 2, pp. 98-121
Persistent link: https://www.econbiz.de/10011572741
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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
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Three essays on volatility forecasting and forecast evaluation
Kleen, Onno - 2020
Persistent link: https://www.econbiz.de/10012436127
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Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc; Trucios, Carlos - 2020
Persistent link: https://www.econbiz.de/10012437084
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New testing approaches for mean-variance predictability
Fiorentini, Gabriele; Sentana, Enrique - 2019
Persistent link: https://www.econbiz.de/10012025064
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Exploiting high frequency data for volatility forecasting and portfolio selection
Hu, Yujia - 2012
estimation and forecast of financial volatility. The research, chapter by chapter is summarized below. Chapter 1 provides … empirical evidence on univariate realized volatility forecasting in relation to asymmetries present in the dynamics of both … return and volatility processes. It examines leverage and volatility feedback effects among continuous and jump components of …
Persistent link: https://www.econbiz.de/10009664313
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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
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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...
Persistent link: https://www.econbiz.de/10011761934