evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new … poorly when trying to forecast short-term volatility, and that a more dynamic model often provides superior out …

volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …

covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

I investigate the volatility pumping intuition in a simple discrete time version of Luenberger[1998]. The literature … argues that investors can benefit from volatility by rebalancing positions to constant weights, thereby trading against past … excess volatility. Mean reversion is needed to make volatility pumping a reality for investors …

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …