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Wen Xu

University of Otago

P.O. Box 56

Dunedin, 9010

New Zealand

  • University of Otago

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The Economic Value of Forecasting and Strategy Gains in Volatility Timing

Number of pages: 26 Posted: 11 Feb 2026
Wen Xu, Pakorn Aschakulporn and Jin E. Zhang
University of Otago, University of Otago and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 26 (1,399,036)

Abstract:

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Volatility Timing, Volatility Managed Portfolio, Covariance Estimation, Multivariate Stochastic Volatility Model, Mean-variance analysis, Portfolio Construction Strategy