Volatility measures
- Volatility Spillover Effects: VIX and Precious MetalsMukesh K. Chaudhry and Vivek BhargavaThe Journal of Wealth Management August 2020, jwm.2020.1.115; DOI: https://doi.org/10.3905/jwm.2020.1.115
- Behavioral Finance and the Coronavirus Bear MarketMichael M. PompianThe Journal of Wealth Management July 2020, 23 (2) 70-74; DOI: https://doi.org/10.3905/jwm.2020.23.2.070
- Measuring Sequence of Returns RiskAndrew Clare, Simon Glover, James Seaton, Peter N. Smith and Stephen ThomasThe Journal of Retirement July 2020, 8 (1) 65-79; DOI: https://doi.org/10.3905/jor.2020.1.066
- Volatility Estimated Based on the Holding-Period Return versus the Logarithmic Return: Their Difference Can Make a DifferenceXiang Gao, Kees G. Koedijk and Zhan WangThe Journal of Portfolio Management July 2020, jpm.2020.1.173; DOI: https://doi.org/10.3905/jpm.2020.1.173
- The Devil Is in the Details: The Risks Often Ignored in Low-Volatility InvestingNicholas Alonso and Oleg NusinzonThe Journal of Portfolio Management June 2020, 46 (7) 58-70; DOI: https://doi.org/10.3905/jpm.2020.1.163
- Downside Volatility-Managed PortfoliosXiao Qiao, Sibo Yan and Binbin DengThe Journal of Portfolio Management June 2020, 46 (7) 13-29; DOI: https://doi.org/10.3905/jpm.2020.1.162
- Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures MarketsGeorge O. Aragon, Rajnish Mehra and Sunil WahalThe Journal of Portfolio Management June 2020, 46 (7) 144-159; DOI: https://doi.org/10.3905/jpm.2020.1.158
- Factor Performance 2010–2019: A Lost Decade?David BlitzThe Journal of Index Investing June 2020, jii.2020.1.090; DOI: https://doi.org/10.3905/jii.2020.1.090
- Harvesting Macroeconomic Risk PremiaKyriakos Chousakos and Daniel GiamouridisThe Journal of Portfolio Management May 2020, 46 (6) 93-109; 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 May 2020, 46 (6) 72-92; DOI: https://doi.org/10.3905/jpm.2020.1.146
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