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Downside Volatility Timing
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/jae.1062openalex-extracted
On portfolio optimization: How and when do we benefit from high‐frequency data?
inferredcites →https://doi.org/10.1002/jae.2361openalex-extracted
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
inferredcites →https://doi.org/10.1002/jae.691openalex-extracted
Estimating quadratic variation using realized variance
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-extracted
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/j.finmar.2013.07.004openalex-extracted
How should individual investors diversify? An empirical evaluation of alternative asset allocation policies
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.032openalex-extracted
Realized volatility forecasting and market microstructure noise
inferredcites →https://doi.org/10.1016/j.jfineco.2005.01.005openalex-extracted
Separating microstructure noise from volatility
inferredcites →https://doi.org/10.1080/07474930701870461openalex-extracted
Using High-Frequency Data in Dynamic Portfolio Choice
inferredcites →https://doi.org/10.1093/acprof:oso/9780199549498.003.0007openalex-extracted
Measuring Downside Risk – Realized Semivariance*
inferredcites →https://doi.org/10.1093/jjfinec/nbu031openalex-extracted
Forecasting Covariance Matrices: A Mixed Approach
inferredcites →https://doi.org/10.1093/rfs/hhm075openalex-extracted
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
inferredcites →https://doi.org/10.1162/rest.89.4.701openalex-extracted
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
inferredcites →https://doi.org/10.1162/rest_a_00503openalex-extracted
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
inferredcites →https://doi.org/10.1198/016214501750332965openalex-extracted
The Distribution of Realized Exchange Rate Volatility
inferredcites →https://doi.org/10.1198/073500102288618487openalex-extracted
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.2139/ssrn.1150061openalex-extracted
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
inferredcites →https://doi.org/10.2139/ssrn.1262194openalex-extracted
Measuring Downside Risk - Realised Semivariance
inferredcites →https://doi.org/10.2139/ssrn.1474212openalex-extracted
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
inferredcites →https://doi.org/10.2139/ssrn.1785736openalex-extracted
Does Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
inferredcites →https://doi.org/10.2139/ssrn.1898735openalex-extracted
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
inferredcites →https://doi.org/10.2139/ssrn.2024782openalex-extracted
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
inferredcites →https://doi.org/10.2139/ssrn.2228772openalex-extracted
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
inferredcites →https://doi.org/10.2139/ssrn.241213openalex-extracted
The Economic Value of Predicting Stock Index Returns and Volatility
inferredcites →https://doi.org/10.2139/ssrn.267791openalex-extracted
The Distribution of Realized Exchange Rate Volatility
inferredcites →https://doi.org/10.3386/w11775openalex-extracted
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.029openalex-snapshot
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
inferredcites →https://doi.org/10.1016/j.jeconom.2010.07.008openalex-snapshot
Threshold bipower variation and the impact of jumps on volatility forecasting
inferredcites →https://doi.org/10.1017/s0022109000003136openalex-snapshot
The Economic Value of Predicting Stock Index Returns and Volatility
inferredcites →https://doi.org/10.1111/0022-1082.00327openalex-snapshot
The Economic Value of Volatility Timing
inferredcites →https://doi.org/10.1198/073500106000000017openalex-snapshot
Testing and Valuing Dynamic Correlations for Asset Allocation
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.1016/j.eneco.2021.105751openalex-snapshot
Forecasting oil and gold volatilities with sentiment indicators under structural breaks
inferred← citeshttps://doi.org/10.1016/j.najef.2021.101379openalex-snapshot
Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis
inferred← citeshttps://doi.org/10.1016/j.physa.2017.04.020openalex-snapshot
Forecasting stock market volatility: Do realized skewness and kurtosis help?
inferred← citeshttps://doi.org/10.1080/10941665.2019.1630453openalex-snapshot
International tourism and consumer prices in Pakistan: a wavelet-based analysis
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