مرکز منطقه ای اطلاع رساني علوم و فناوري - The economic value of volatility timing using “realized” volatility

Title of article :

The economic value of volatility timing using “realized” volatility

Author/Authors :

Jeff Fleming، نويسنده , , Chris Kirby، نويسنده , , Barbara Ostdiek، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2003

Pages :

From page :

473

To page :

509

Keywords :

Volatility timing , Realized volatility , Portfolio optimization , Mean-variance analysis , Rollingestimators

Journal title :

Journal of Financial Economics

Serial Year :

2003

Journal title :

Journal of Financial Economics

Record number :

257594

Link To Document :