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: | 1-十一月-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 |
顯示於類別: | 會議論文 |