Research on the effectiveness of the volatility-tail risk-managed portfolios in China's market
Year of publication: |
2024
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Authors: | Guo, Zirui ; Li, Yihan ; Jia, Guangyan |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 66.2024, 3, p. 1191-1222
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Subject: | Quantitative investment | Volatility forecasting | Volatility timing | Volatility-managed portfolios strategy | Volatility-tail risk-managed portfolios | Volatilität | Volatility | Portfolio-Management | Portfolio selection | China | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
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