Academic Insight

Alpha Generation and Risk Smoothing using Managed Volatility

2014-01-232021-02-14 Financial Factory 4 Views volatility drag, volatility of volatility, volatility timing

Author(s): Tony Cooper Date: August 6, 2010 Abstract: It is difficult to predict stock market returns but relatively easy to

Academic Insight

Asymmetric Volatility Risk: Evidence from Option Markets

2013-10-202021-02-23 Financial Factory 5 Views implied correlation, SPX, VIX, volatility

Author(s): Jens Jackwerth, Grigory Vilkov Date: September 23, 2013 Abstract: Using non-parametric methods to model the dependencies between risk-neutral distributions of the market index