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340,506
The Economic Value of Volatility Timing
 Journal of Finance
, 2000
"... Numerous studies report that standard volatilitymodelshavelow explanatorypower, leading some researchers to question whether these models haveeconomic value.We examine thisquestion by using conditional meanvariance analysis to assess the value of volatility timing to shorthorizon investors. We fin ..."
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Cited by 124 (1 self)
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Numerous studies report that standard volatilitymodelshavelow explanatorypower, leading some researchers to question whether these models haveeconomic value.We examine thisquestion by using conditional meanvariance analysis to assess the value of volatility timing to shorthorizon investors. We
Expected stock returns and volatility
 Journal of Financial Economics
, 1987
"... This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evid ..."
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Cited by 674 (9 self)
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This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also
Bayesian Analysis of Stochastic Volatility Models
, 1994
"... this article is to develop new methods for inference and prediction in a simple class of stochastic volatility models in which logarithm of conditional volatility follows an autoregressive (AR) times series model. Unlike the autoregressive conditional heteroscedasticity (ARCH) and gener alized ARCH ..."
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Cited by 588 (25 self)
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this article is to develop new methods for inference and prediction in a simple class of stochastic volatility models in which logarithm of conditional volatility follows an autoregressive (AR) times series model. Unlike the autoregressive conditional heteroscedasticity (ARCH) and gener alized
Volatility Timing and Portfolio Returns
, 2000
"... This paper studies the impact of timevarying expected returns and volatility on portfolio returns. In doing so, we are careful to account for estimation risk and parameter learning. Using outofsample portfolio returns for the S&P 500, we …nd that a strategy based solely on volatility timing u ..."
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This paper studies the impact of timevarying expected returns and volatility on portfolio returns. In doing so, we are careful to account for estimation risk and parameter learning. Using outofsample portfolio returns for the S&P 500, we …nd that a strategy based solely on volatility timing
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 553 (47 self)
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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
VOLATILITY TIME AND PROPERTIES OF OPTION PRICES
, 2003
"... We use a notion of stochastic time, here called volatility time, toshow convexity of option prices in the underlying asset if the contract function is convex as well as continuity and monotonicity of the option price in the volatility. The volatility time is obtained as the almost surely unique stop ..."
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Cited by 19 (7 self)
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We use a notion of stochastic time, here called volatility time, toshow convexity of option prices in the underlying asset if the contract function is convex as well as continuity and monotonicity of the option price in the volatility. The volatility time is obtained as the almost surely unique
Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options
, 1993
"... ..."
Does Volatility Timing Matter?
"... ditional expected asset returns and the conditional covariance matrix. There is little evidence, however, that we can detect shortterm variation in expected returns. Therefore, we treat the expected returns as constant, and let the variation in the optimal portfolio weights be driven purely by chan ..."
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. This approach accommodates a variety of return generating processes and nests most ARCH, GARCH, and stochastic volatility models as special cases. We use the timeseries of these covariance matrix estimates to construct the investor's optimal portfolio weights. This yields a dynamic trading strategy
1 Does Volatility Timing Matter?
"... This chapter examines the performance of volatilitytiming strategies. We consider a shorthorizon investor who uses meanvariance optimization to allocate funds between stocks, bonds, gold, and cash. Specifically, the investor rebalances his portfolio daily based on the current estimate of the condi ..."
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This chapter examines the performance of volatilitytiming strategies. We consider a shorthorizon investor who uses meanvariance optimization to allocate funds between stocks, bonds, gold, and cash. Specifically, the investor rebalances his portfolio daily based on the current estimate
Time Varying World Market Integration
 Journal of Finance
, 1995
"... We propose a measure of capital market integration arising from a conditional regimeswitching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a numb ..."
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Cited by 527 (39 self)
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number of emerging markets exhibit timevarying integration. Some markets appear more integrated than one might expect based on prior knowledge of investment restrictions. Other markets appear segmented even though foreigners have relatively free access to their capital markets. While there is a
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