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Predicting the Success of Volatility Targeting Strategies:Application to Equities and Other Asset Classes
16 references·2 citing·27 second hop
Predicting the Success of Volatility Targeting Strategies:Application to Equities and Other Asset Classes (2015)Predicting the Success of Volatility Targ…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…The variation of certain speculative prices (1997)The variation of certain spec…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…No news is good news (1992)No news is good newsAlternative models for conditional stock volatility (1990)Alternative models for condit…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Estimating portfolio risk for tail risk protection strategies (2020)Estimating portfolio risk for…A Practical Guide to Robust Portfolio Optimization (2019)A Practical Guide to Robust P…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Threshold heteroskedastic models (1994)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Trends and random walks in macroeconmic time series (1982)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)Fractional Brownian Motions, Fractional Noises and Applications (1968)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
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References

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  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
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  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
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  • 2003Forecasting Volatility in Financial Markets: A Review

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1,373 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • Cited by

    • 2019A Practical Guide to Robust Portfolio Optimization34 cited
    • 2020Estimating portfolio risk for tail risk protection strategies26 cited