標題: The economic value of volatility timing using a range-based volatility model
作者: Chou, Ray Yeutien
Liu, Nathan
經營管理研究所
Institute of Business and Management
關鍵字: Asset allocation;CARR;DCC;Economic value;Range;Volatility timing
公開日期: 1-Nov-2010
摘要: There is growing interest in utilizing the range data of asset prices to study the role of volatility in financial markets. In this paper, a new range-based volatility model was used to examine the economic value of volatility timing in a mean-variance framework. We compared its performance with a return-based dynamic volatility model in both in-sample and out-of-sample volatility timing strategies. For a risk-averse investor, it was shown that the predictable ability captured by the dynamic volatility models is economically significant, and that a range-based volatility model performs better than a return-based one. (C) 2010 Elsevier B.V. All rights reserved.
URI: http://dx.doi.org/10.1016/j.jedc.2010.05.010
http://hdl.handle.net/11536/18121
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2010.05.010
期刊: JOURNAL OF ECONOMIC DYNAMICS & CONTROL
Volume: 34
Issue: 11
起始頁: 2288
結束頁: 2301
Appears in Collections:Conferences Paper


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