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The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts

Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293

Persistent link: https://www.econbiz.de/10009489609

Rational speculators, contrarians, and excess volatility

Lof, Matthijs - In: Management science : journal of the Institute for … 61 (2015) 8, pp. 1889-1901

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Essays on financial and monetary economics

Licari, Juan Manuel - 2007

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Asset prices and institutional investors

Başak, Suleyman; Pavlova, Anna - 2012

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The small and large time implied volatilities in the minimal market model

Guo, Zhi Jun; Platen, Eckhard - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-23

Persistent link: https://www.econbiz.de/10009707096

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

cares about the left tail of her wealth distribution benefits from using the tail loss measure as an information variable to …

Persistent link: https://www.econbiz.de/10010226098

Asset prices and institutional investors

Başak, Suleyman; Pavlova, Anna - In: The American economic review 103 (2013) 5, pp. 1728-1758

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Pursuing the low volatility equity anomaly : strategic allocation or active decision?

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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

Estimating the stock/portfolio volatility and the volatility of volatility : a new simple method

Alghalith, Moawia - In: Econometric reviews 35 (2016) 1/4, pp. 257-262

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