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Return-based classification of absolute return funds
, 2014
"... The authors are grateful for research support provided by the German Investment and Asset Management Association (BVI). Opinions and errors are solely those of the authors and not of the institutions with whom the authors are affiliated. © 2013 Gerlach and Maurer. Return-based classification of abso ..."
A Long-Memory Property of Stock Market Returns and a New Model
- Journal of Empirical Finance
, 1993
"... A ‘long memory ’ property of stock market returns is investigated in this paper. It is found that not only there is substantially more correlation between absolute returns than returns them-selves, but the power transformation of the absolute return lrfl ” also has quite high autocorrel-ation for lo ..."
Abstract
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Cited by 631 (18 self)
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A ‘long memory ’ property of stock market returns is investigated in this paper. It is found that not only there is substantially more correlation between absolute returns than returns them-selves, but the power transformation of the absolute return lrfl ” also has quite high autocorrel-ation
The Anatomy of Principal Protected Absolute Return Barrier Notes
, 2011
"... Principal Protected Absolute Return Barrier Notes (ARBNs) are structured products linked to an underlying security or an index. While these notes guarantee principal protection – return of face value – their upside potential is dependent on the level of the underlying security never falling outside ..."
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Principal Protected Absolute Return Barrier Notes (ARBNs) are structured products linked to an underlying security or an index. While these notes guarantee principal protection – return of face value – their upside potential is dependent on the level of the underlying security never falling outside
Department of Economics SOME PROPERTIES OF ABSOLUTE RETURNS AS A PROXY FOR VOLATILITY
, 2007
"... We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns. ..."
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We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.
Illiquidity and stock returns: cross-section and time-series effects,
- Journal of Financial Markets
, 2002
"... Abstract This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the cross-sectional positive return-illiquidity relationship. Also, stock ret ..."
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Cited by 864 (9 self)
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returns are negatively related over time to contemporaneous unexpected illiquidity. The illiquidity measure here is the average across stocks of the daily ratio of absolute stock return to dollar volume, which is easily obtained from daily stock data for long time series in most stock markets. Illiquidity
Realized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk
, 2014
"... Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received w ..."
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Cited by 1 (0 self)
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wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
"... Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset and derivative pricing theories as well as trading and hedging strategies. In response to this, ..."
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Cited by 561 (45 self)
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volatility persistence. Meanwhile, when judged by standard forecast evaluation criteria, based on the squared or absolute returns over daily or longer forecast horizons, standard volatility models provide seemingly poor forecasts. The present paper demonstrates that, contrary to this contention
Modelling The Absolute Returns Of Different Stock Indices: Exploring The Forecastability Of An Alternative Measure Of Risk
- Journal of Forecast
, 1999
"... Conventional measures of the risk of a financial asset make use of the unobserved (conditional) variance or standard deviation of its return. In this paper, we treat the observed absolute return as a measure of risk and explore its forecastability. Two simple models are considered. One is a new AR-l ..."
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Cited by 14 (0 self)
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Conventional measures of the risk of a financial asset make use of the unobserved (conditional) variance or standard deviation of its return. In this paper, we treat the observed absolute return as a measure of risk and explore its forecastability. Two simple models are considered. One is a new AR
1 Constructing Absolute Return Funds with ETFs: A Dynamic Risk-Budgeting Approach
, 2008
"... This article develops an application of ETFs to the management of an absolute return fund. The use of dynamic core-satellite portfolio management makes it possible to construct absolute return funds using ETFs on stock and bond indices. As a result of the ease with which they are traded, ETFs make a ..."
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This article develops an application of ETFs to the management of an absolute return fund. The use of dynamic core-satellite portfolio management makes it possible to construct absolute return funds using ETFs on stock and bond indices. As a result of the ease with which they are traded, ETFs make
Risk Control through Dynamic Core-Satellite Portfolios of ETFs: Applications to Absolute Return Funds and Tactical Asset Allocation
, 2010
"... The opinions expressed in this study are those of the authors and do not necessarily reflect those of EDHEC Business School. The authors can be contacted at ..."
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The opinions expressed in this study are those of the authors and do not necessarily reflect those of EDHEC Business School. The authors can be contacted at
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