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How to Look Clever and Have Envious Neighbors: Average Volatility Managed Investment Timing

https://doi.org/10.2139/ssrn.3208630
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Expected stock returns and volatility
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Momentum has its moments
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The Cross-Sectional Variation of Volatility Risk Premia
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Bootstrap Methods and their Application
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Tests for Forecast Encompassing
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Strategic Asset Allocation in Continuous Time
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
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Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
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HEDGE FUND SURVIVAL: NON‐NORMAL RETURNS, CAPITAL OUTFLOWS, AND LIQUIDITY
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The Cross‐Section of Volatility and Expected Returns
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New Light on the Correlation Coefficient and its Transforms
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Hands-On Intermediate Econometrics Using R: Templates for Extending Dozens of Practical Examples (with CD-ROM)
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MAXIMUM DRAWDOWN INSURANCE
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Carry Trade and Momentum in Currency Markets
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Aggregate Income Shocks and Infant Mortality in the Developing World
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The Econometrics of Financial Markets
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Commodities and Equities: 'A Market of One'?
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On the Evidence Supporting the Existence of Risk Premiums in the Capital Market
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Large Stock Market Price Drawdowns are Outliers
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Generalized Correlations and Kernel Causality Using R Package GeneralCorr
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The Efficiency Analysis of Choices Involving Risk
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Econometric Evaluation of Linear Macro-Economic Models
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An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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Facts and Fantasies about Commodity Futures
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Hedge Fund Leverage
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Facts and Fantasies about Commodity Futures Ten Years Later
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No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
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A Constant-Volatility Framework for Managing Tail Risk
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Predictive Regressions: A Reduced-Bias Estimation Method
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The "Speculative Efficiency" Hypothesis
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