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Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …

Persistent link: https://www.econbiz.de/10011293745

Cross-sectional dependence in idiosyncratic volatility

Kalnina, Ilze; Tewou, Kokouvi - 2015

Persistent link: https://www.econbiz.de/10011404552

Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation

Ni, Xuanming; Qian, Long; Zhao, Huimin; Liu, Jia - In: International review of financial analysis 76 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012805046

The cross-section of expected stock returns and components of idiosyncratic volatility

Poudeh, Seyed Reza Tabatabaei; Fu, Chengbo - In: The journal of risk finance : JRF 23 (2022) 4, pp. 403-417

Persistent link: https://www.econbiz.de/10013370591

Realized regression with asynchronous and noisy high frequency and high dimensional data

Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10015074483

Disentangling continuous volatility from jumps in long-run risk-return relationships

Jacquier, Eric; Okou, Cédric - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 544-583

Persistent link: https://www.econbiz.de/10010391947

Essays on financial time series with a focus on high-frequency data

Becker, Janis - 2020

Persistent link: https://www.econbiz.de/10012225306

Forecasting European stock volatility : the role of the UK

Gao, Jun; Gao, Xiang; Gu, Chen - In: International review of financial analysis 89 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014464832

Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes

Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - In: Journal of econometrics 187 (2015) 1, pp. 293-311

Persistent link: https://www.econbiz.de/10011499439

Financial volatility modeling with option-implied information and important macro-factors

Yfanti, Stavroula; Karanasos, Menelaos - In: Journal of the Operational Research Society 73 (2022) 9, pp. 2129-2149

Persistent link: https://www.econbiz.de/10013532426