Kun Yang

PanAgora Asset Management

Director

1 International Place

24th Floor

boston, MA 02110

United States

SCHOLARLY PAPERS

4

DOWNLOADS

297

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Applying the Realized Covariation to Detecting Volatility Spillovers, Risk Hedging, and Asset Allocation

Number of pages: 31 Posted: 13 Jul 2007 Last Revised: 20 Oct 2007
Kun Yang
PanAgora Asset Management
Downloads 142 (208,919)

Abstract:

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Realized Covariation, GARCH, Volatility Spillovers, Risk Hedging, Asset Allocation

2.

Time Horizon Sensitivity of the Forward Premium Puzzle

Number of pages: 39 Posted: 26 Aug 2007 Last Revised: 20 Oct 2007
Kun Yang
PanAgora Asset Management
Downloads 133 (220,267)

Abstract:

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Forward Premium Puzzle, Uncovered Interest Parity, Exchange Rate Forecast

3.

Does the Prediction Horizon Matter for the Forward Premium Anomaly? Evidence from Panel Data

Economics Letters, Vol. 93, No. 2, 2006
Number of pages: 8 Posted: 12 Jul 2007 Last Revised: 17 Dec 2010
Kun Yang and Mototsugu Shintani
PanAgora Asset Management and Vanderbilt University - College of Arts and Science - Department of Economics
Downloads 22 (521,428)

Abstract:

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Forward premium puzzle, Out-of-sample forecast, Uncovered interest parity

4.

Protecting the Downside of Trend When It's Not Your Friend

The Journal of Portfolio Management (2019), https://doi.org/10.3905/jpm.2019.1.087
Posted: 23 Jul 2019
PanAgora Asset Management, PanAgora Asset Management and PanAgora Asset Management

Abstract:

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trend-following, Managed Futures, CTA, hedge funds, portfolio construction, risk management