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Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397

Stock market returns and exchange rate movements in a multiple currency economy : the case of Zimbabwe

Sibanda, Mabutho - In: Journal of economic and financial sciences 8 (2015) 3, pp. 742-752

Persistent link: https://www.econbiz.de/10011520269

Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - In: Energy economics 51 (2015), pp. 31-44

Persistent link: https://www.econbiz.de/10011564203

Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - 2015

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...

Persistent link: https://www.econbiz.de/10010499593

On the effects of world stock market and oil price shocks on food prices : an empirical investigation based on TVP-VAR models with stochastic volatility

Jebabli, Ikram; Arouri, Mohamed; Teulon, Frédéric - In: Energy economics 45 (2014), pp. 66-98

Persistent link: https://www.econbiz.de/10010504792

Australia's equity home bias and real exchange rate volatility

Mishra, Anil V. - In: Review of quantitative finance and accounting 37 (2011) 2, pp. 223-244

Persistent link: https://www.econbiz.de/10009271469

The role of country and industry factors during volatile times

Miralles Marcelo, José Luis; Miralles-Quirós, José Luis - In: Journal of international financial markets, … 26 (2013), pp. 273-290

Persistent link: https://www.econbiz.de/10010234862

Oil price volatility and the logistics industry : dynamic connectedness with portfolio implications

Maitra, Debasish; Ur Rehman, Mobeen; Dash, Saumya Ranjan; … - In: Energy economics 102 (2021), pp. 1-23

Persistent link: https://www.econbiz.de/10013162436

Dynamic Asset Allocation Strategies Based on Unexpected Volatility

Zakamulin, Valeriy - 2019

In this paper we document that at the aggregate stock market level the unexpected volatility is negatively related to … expected future returns and positively related to future volatility. We demonstrate how the predictive ability of unexpected … volatility can be utilized in dynamic asset allocation strategies that deliver a substantial improvement in risk …

Persistent link: https://www.econbiz.de/10012905132

Volatility-Managed Portfolio : Does It Really Work?

Liu, Fang - 2019

In this article, the authors find that a typical application of volatility-timing strategies to the stock market … three alternative volatility-timing strategies and find that they do not outperform the market either. Their results show …

Persistent link: https://www.econbiz.de/10012897452