in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

and the tests the volatility, as a factor, that may cause the correlations to change over time. Linear regression … estimates of Asymmetric Dynamic Conditional Correlation Model, which allows correlations to change, have been used to test if … the volatilities of individual markets or their relative volatility causes the change in correlations.The results suggest …

volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an …

-term reversal strategies. The performance results are robust with respect to transaction costs and other real world frictions …

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 …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …