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http://vzakamulin.weebly.com/
University of Agder - School of Business and Law
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technical analysis, trading rules, market timing, moving averages, out-of-sample testing
technical analysis, market timing, simple moving average, time-series momentum, out-of-sample testing
Markov model, semi-Markov model, bull-bear markets, optimal trend-following, moving averages
Technical Analysis, Trend Following, Momentum, Moving Average, Return Predictability
technical analysis, market timing, moving averages, performance evaluation
technical analysis, market timing, moving averages, regime switching, bull and bear markets, out-of-sample testing
option hedging, transaction costs, simulations
technical analysis, market timing, moving average, robustness
Sharpe ratio, skewness, kurtosis, portfolio performance evaluation
stock market, trend-following, transaction costs, simple moving average, moving average crossover
option pricing, binomial model
time-series momentum, mean reversion, bull and bear markets, duration dependence, semi-Markov model
commodity contracts, futures contract, forward contract, option pricing and hedging
option hedging, transaction costs, simulations, risk-return tradeoff, optimization
Option hedging, transaction costs, simulations, risk-return tradeoff, optimization
time series momentum, trend-following, profitability, statistical power
VIX volatility index, dating of turning points, event study, abnormal returns, behavioral finance, investor sentiment, investor overreaction, cross-sectional differences
predictability, stock returns, long-run, random walk, mean reversion, bootstrap simulation
option hedging, transaction costs, approximation methods, simulations
option hedging, transaction costs, nonlinear Black-Scholes PDE, finite-difference method
long-run, time-series data, serial dependence, parameter estimation, bootstrap, block bootstrap
hedge funds, performance measures, portfolio performance evaluation, Sharpe ratio, rank correlation, non-normality, skewness, kurtosis
Market Timing, Moving Averages, Smoothness, Lag Time
Markov switching model, bull-bear markets, optimal trend-following, moving averages
equity valuation model, equilibrium relationship, Granger causality, vector error correction, structural break analysis, historical development, monetary policy
size effect, size premium, stock return predictability, active alpha
interest rate model, short rate, forward rate, term structure, CARMA process, bond pricing, bond option pricing, yield curve, volatility curve, calibration
utility theory, behavioral finance, portfolio performance evaluation, performance measure, reward-to-risk ratio, loss aversion
option hedging, transaction costs
risk aversion, loss aversion, risk measure, partial moments of distribution, mean-variance utility, quadratic utility, certainty equivalent, risk premium, optimal capital allocation, portfolio performance evaluation
stock markets, volatility forecasting, intraday data, measures of realized daily volatility, forecast accuracy, out-of-sample forecasting, model comparison
stock market overreaction, investor overreaction, market correction, bull and bear markets JEL classification: G10, G14, G40
stock markets, volatility forecasting, state dependence, high-frequency data, meta-analysis
investment analysis, optimal allocation, portfolio theory, investment opportunity set, CAPM, comparative static analysis, Sharpe ratio, Jensen's alpha
Low-Volatility Anomaly, Portfolio Optimization, Naive Diversification, Out-Of-Sample Simulations, Risk-Based Explanation
portfolio choice, transaction costs, stochastic singular control, stochastic impulse control, computational methods
Option pricing, option hedging, transaction costs, stochastic impulse control, Markov chain approximation
semi-Markov models, stock market regimes, bull and bear markets, US stock market
option pricing, transaction costs, stochastic control, optimal stopping, Markov chain approximation
size effect, size premium, January effect, stock return predictability
spot volatility, forward volatility, volatility forecasting, high-frequency data, forecast accuracy, term structure, out-of-sample forecasting, model comparison, meta-analysis
spot volatility, forward volatility, volatility forecasting, forecast accuracy, term structure, out-of-sample forecasting, model comparison, meta-analysis
loss aversion, implied volatility, volatility risk premium, skewness risk premium
Stock Market Cycles, Bull and Bear Markets, Duration Dependence, Survivor Function, Hazard Function
performance measure, portfolio performance evaluation, risk measure, deviation measure, value-at-risk, conditional value-at-risk, expected shortfall, expected tail loss
unexpected volatility, return predictability, dynamic asset allocation
covariance matrix forecasting, minimum-variance portfolio optimization, sample covariance, covariance shrinkage, exponentially weighted covariance, multivariate GARCH, model comparison
dynamic portfolio optimization, dynamic risk management, risk control over time, risk control across assets, out-of-sample simulations
dynamic portfolio optimization, portfolio risk control over time, volatility weighting over time, volatility targeting, transaction costs, out-of-sample simulations
