Neutralizing portfolios from overall market risk is an important part of investment management particularly for hedge funds. In this paper we show an economically significant improvement in the accuracy of targeting market neutrality for equity portfolios. Key features of the approach are the...

Market neutral funds are commonly advertised as alternative investments offering returns which are uncorrelated with the broad market. Utilizing recent advances in financial econometrics we demonstrate that constructing market (beta) neutral funds by standard forecasting methods is often very...

For the major foreign exchange rates, it is found that the optimal modelling frequency of volatility is weekly for forecast horizons ranging from 1 week up to 1 month. Autoregressive modelling is based on realized volatility measures computed from 30 min returns

The last decade has seen substantial advances in the measurement, modelling and forecasting of volatility which has centered around the realized volatility literature. To date, most of the focus has been on the daily and monthly frequencies, with little attention on longer horizons such as the...