investor flows. We conclude that fund managers voluntarily attempt to time factors, but they are unsuccessful at doing so. …

fund's forced trading through investor flows. We conclude that fund managers voluntarily attempt to time risk factors, but …

two conditional moments of univariate traffic flow series can be modeled as a SARIMA+GARCH structure, based on which an … smoothing; the local variation is processed using Kalman filter by constructing a state space model. Afterwards, GARCH model is … processed using Kalman filter based on the recognition that GARCH has an equivalent representation as ARMA in the sense of …

--vis three GARCH models (GARCH (1,1), GARCH-M (1,1) and EGARCH (1,1)) as well as the random walk model. The Kalman filter model …