1,721,016 research outputs found
Alien Registration- Clements, Adam (Rumford, Oxford County)
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Are combination forecasts of S&P 500 volatility statistically superior?
No full textForecasting volatility has received a great deal of research attention, with the relative performances of econometric model based and option implied volatility forecasts often being considered. While many studies find that implied volatility is the pre-ferred approach, a number of issues remain unresolved, including the relative merit of combining forecasts and whether the relative performances of various forecasts are statistically different. By utilising recent econometric advances, this paper considers whether combination forecasts of S&P 500 volatility are statistically superior to a wide range of model based forecasts and implied volatility. It is found that a combination of model based forecasts is the dominant approach, indicating that the implied volatility cannot simply be viewed as a combination of various model based forecasts. Therefore, while often viewed as a superior volatility forecast, the implied volatility is in fact an inferior forecast of S&P 500 volatility relative to model-based forecasts. © 2007 International Institute of Forecasters
Volatility timing : how best to forecast portfolio exposures
No full textThis paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility. These include the traditional econometric approach of forming portfolios from forecasts of the covariance matrix, and a novel method, where a time series of optimal portfolio weights are constructed from observed realized volatility and directly forecast. The approach proposed here of directly forecasting portfolio weights shows a great deal of merit. Resulting portfolios are of equivalent economic benefit to a number of competing approaches and are more stable across time. These findings have obvious implications for the manner in which volatility timing is undertaken in a portfolio allocation context
Investor Expectations And Beta Risk
No full textInvestors have short memories and tend to concentrate on today's gains rather than yesterday's losses. Under standing what drives investment decisions is never easy and ADAM CLEMENTS and MICHAEL DREW use an adaptative expectations approach to make some empirical observations.No Full Tex
Institutional homogeneity and choice in superannuation
No full textIn this analysis of institutional investor performance, two questions are addressed. First, what degree of similarity is observed within the market place for retail superannuation funds? Second, what are the implications of homogenous behaviour for member choice policy? The answers from this study are as follows: as an industry, institutional investors destroyed value for superannuation investors for the period 1991 through 2003, underperforming passive portfolio returns by around 60 basis points per annum. Moreover, we find there is a great deal of clustering around this average underperformance. It also appears as though funds have similar risk characteristics which are, on average, defensive. The findings suggest that the products offered by those competing in this market are very similar in nature, hence limiting the potency' of choice policy in Australia.No Full Tex
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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