Volatility measures
- Can Commodity Price Uncertainty Indexes Be Improved by Capturing Media Information? The Case of Oil Price UncertaintyYosef Bonaparte, Frank J. Fabozzi and David KoslowskyThe Journal of Alternative Investments February 2020, jai.2020.1.094; DOI: https://doi.org/10.3905/jai.2020.1.094
- Forecasting Option Prices Using Discrete-Time Volatility Models Estimated at Mixed TimescalesGiovanni Calice, Jing Chen and Julian WilliamsThe Journal of Derivatives February 2020, 27 (3) 45-74; DOI: https://doi.org/10.3905/jod.2019.1.094
- An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility ModelsJunmei Ma, Sihuan Huang and Wei XuThe Journal of Derivatives February 2020, 27 (3) 75-98; DOI: https://doi.org/10.3905/jod.2019.1.092
- Harvesting Macroeconomic Risk PremiaKyriakos Chousakos and Daniel GiamouridisThe Journal of Portfolio Management March 2020, jpm.2020.1.149; DOI: https://doi.org/10.3905/jpm.2020.1.149
- Fact and Fiction about Low-Risk InvestingRon Alquist, Andrea Frazzini, Antti Ilmanen and Lasse Heje PedersenThe Journal of Portfolio Management March 2020, jpm.2020.1.146; DOI: https://doi.org/10.3905/jpm.2020.1.146
- Factor Investing in Currency Markets: Does It Make Sense?Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli and Jiali XuThe Journal of Portfolio Management December 2019, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116
- The Volatility Effect RevisitedDavid Blitz, Pim van Vliet and Guido BaltussenThe Journal of Portfolio Management December 2019, 46 (2) 45-63; DOI: https://doi.org/10.3905/jpm.2019.1.114
- With Greater Uncertainty Comes Greater VolatilityInna Zorina, Jamie Khatri, Carol Zhu and James J. RowleyThe Journal of Index Investing November 2019, 10 (3) 6-14; DOI: https://doi.org/10.3905/jii.2019.1.077
- Leveraged Investment Products: Monthly Rebalancing Boosts Performance, but Tail Risk LoomsMatthew S. CrouseThe Journal of Index Investing November 2019, 10 (3) 58-69; DOI: https://doi.org/10.3905/jii.2019.1.074
- Returns to Option Strategies Following Class Action LawsuitsDean Diavatopoulos, Andy Fodor and Kevin KriegerThe Journal of Investing November 2019, 29 (1) 119-131; DOI: https://doi.org/10.3905/joi.2019.1.109
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