We analyze the applicability of economic criteria for volatility forecast evaluation based on unconditional measures of portfolio performance. The main theoretical finding is that such unconditional measures generally fail to rank conditional forecasts correctly due to the presence of a bias...

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment strategies -- Predictive properties of the volatility term...

An instant may matter for the course of an entire life. It is with this idea that the present research had its inception. High frequency financial data are becoming increasingly available and this has triggered research in financial econometrics where information at high frequency can be...

Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of financial instruments formulation procedure at an...