We propose a joint modeling strategy for timing the joint distribution of the returns and their volatility. We do this … volatility, allowing for asymmetric cross-correlations, denoted as instantaneous leverage effects, in addition to cross …-autocorrelations between returns and volatility, denoted as intertemporal leverage effects. We show that while the conventional intertemporal …

the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are … including payout yields. The second is used to estimate the prevailing volatility. Reward-risk timing with machine learning … presents a unifying framework for machine learning applied to both return- and volatility-timing. …

We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i … time-variation of the strategies providing a unique explanation for momentum crashes …