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Portfolio management for insurers and pension funds and COVID-19 : targeting volatility for equity, balanced, and target-date funds with leverage constraints

Bao Doan; Reeves, Jonathan J.; Sherris, Michael - In: Annals of actuarial science : publ. by the Institute of … 18 (2024) 1, pp. 78-101

Persistent link: https://www.econbiz.de/10014519970

Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

forecasting the daily volatility of Bulgarian investment funds, which will support the investment community in making adequate ….1) are adapted to predict the volatility of investment funds. The current development focuses on forecasting the risk … group. The object of the study includes quantitative analysis, estimation and forecasting of daily volatility through the …

Persistent link: https://www.econbiz.de/10014436423

The 52-week high, momentum, and predicting mutual fund returns

Sapp, Travis R. A. - In: Review of quantitative finance and accounting 37 (2011) 2, pp. 149-179

Persistent link: https://www.econbiz.de/10009271479

Bad news bears : effects of expected market volatility on daily tracking error of leveraged bull and bear ETFs

Holzhauer, Hunter Matthew; Lu, Xing; MacLeod, Robert W.; … - In: Managerial finance 39 (2013) 12, pp. 1169-1187

Persistent link: https://www.econbiz.de/10010197618

Style investing, comovement and return predictability

Wahal, Sunil; Yavuz, Deniz M. - In: Journal of financial economics 107 (2013) 1, pp. 126-154

Persistent link: https://www.econbiz.de/10009715836

Investor sentiment, style investing, and momentum

Ashour, Samar; Hao, Qing; Harper, Adam - In: Journal of financial markets 62 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014226768

Performance persistence of government bond factor premia

Zaremba, Adam - In: Finance research letters 22 (2017), pp. 182-189

Persistent link: https://www.econbiz.de/10011808138

A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018

Persistent link: https://www.econbiz.de/10011977460

A new government bond volatility index predictor for the U.S. equity premium

Pan, Zheyao; Kam Fong Chan - In: Pacific-Basin finance journal 50 (2018), pp. 200-215

Persistent link: https://www.econbiz.de/10012033788

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