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Does idiosyncratic volatility matter in the emerging markets? : Istanbul Stock Exchange evidence

Gökgöz, Fazıl; Altintaş, Ipek - In: Economic research 26 (2013) 3, pp. 133-150

Persistent link: https://www.econbiz.de/10010197022

Correlation surprise

Kinlaw, Will; Turkington, David - In: The journal of asset management 14 (2013) 6, pp. 385-399

Persistent link: https://www.econbiz.de/10010258478

How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas

Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14

Persistent link: https://www.econbiz.de/10010338365

The dynamics of volatility and correlation during periods of crisis : implications for active asset management

Esposito, Marcello - In: The journal of asset management 17 (2016) 3, pp. 135-140

Persistent link: https://www.econbiz.de/10011485140

Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014

Persistent link: https://www.econbiz.de/10011554962

Rethinking risk

Estrada, Javier - In: The journal of asset management 15 (2014) 4, pp. 239-259

Persistent link: https://www.econbiz.de/10010476241

Portfolio speculation and commodity price volatility in a stochastic storage model

Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532

Persistent link: https://www.econbiz.de/10010411908

Risk-adjusted time series momentum

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

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

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

Dynamic autocorrelation and international portfolio allocation

Kinnunen, Jyri; Martikainen, Minna - In: Multinational finance journal 21 (2017) 1, pp. 21-48

Persistent link: https://www.econbiz.de/10012547453

Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? : portfolio construction from the perspective of a Polish investor

Latoszek, Michał; Ślepaczuk, Robert - In: Economics and business review 6/20 (2020) 1, pp. 46-81

Persistent link: https://www.econbiz.de/10012550231