- Volatility‐Managed Portfolios
2017/04/06 by ALAN MOREIRA, Alan Moreira, TYLER MUIR +1 · 15 citations
Economics, Econometrics and Finance · #Currency #Econometrics #Economics #Equity (law) #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial economics #Forward volatility #Market Dynamics and Volatility #Monetary economics #Portfolio #Sharpe ratio #Stochastic volatility #Volatility (finance) #Volatility risk #Volatility risk premium
- The Economic Value of Volatility Timing
2001/02/01 by Jeff Fleming, Chris Kirby, Barbara Ostdiek · 5 citations
Economics, Econometrics and Finance · #Econometrics #Economics #Explanatory power #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial economics #Forward volatility #Implied volatility #Market Dynamics and Volatility #Microeconomics #Realized variance #Stochastic volatility #Transaction cost #Variance swap #Volatility (finance) #Volatility risk premium #Volatility swap
- Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns
1994/06/01 by ROBERT F. WHITELAW, Robert Whitelaw · 1 citation
Economics, Econometrics and Finance · #Econometrics #Economics #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial economics #Forward volatility #Implied volatility #Market Dynamics and Volatility #Volatility (finance) #Volatility risk premium