Measuring and trading volatility on the US stock market: A regime switching approach
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Cited by:
- José P. Dapena & Juan A. Serur & Julián R. Siri, 2019. "Risk on-Risk off: A regime switching model for active portfolio management," CEMA Working Papers: Serie Documentos de Trabajo. 706, Universidad del CEMA.
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More about this item
Keywords
Realized volatility; expected volatility; volatility premium; regime switching; excess returns; hidden Markov model; VIX.;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- N2 - Economic History - - Financial Markets and Institutions
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2018-10-08 (Operations Research)
- NEP-RMG-2018-10-08 (Risk Management)
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