Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets
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DOI: 10.1016/j.frl.2017.10.032
Abstract: Abstract This paper investigates the volatility spillover and connectedness among global and regional stock markets and those of Greece, Ireland, Portugal, Spain, and Italy (GIPSI). For this investigation, we perform a static and rolling-window analysis… read more here.
Keywords: volatility; stock markets; dynamic volatility; global regional ... See more keywords
Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches
Sign Up to like & getrecommendations! Published in 2018 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.12.004
Abstract: We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility scaling approach of Barroso and Santa-Clara (2015), and (ii) the dynamic volatility scaling method of Daniel and Moskowitz (2016).… read more here.
Keywords: volatility; risk adjusted; momentum strategies; volatility scaling ... See more keywords