Neutralizing portfolios from overall market risk is an important part of investment management particularly for hedge funds. In this paper we show an economically significant improvement in the accuracy of targeting market neutrality for equity portfolios. Key features of the approach are the...

Market neutral funds are commonly advertised as alternative investments offering returns which are uncorrelated with the broad market. Utilizing recent advances in financial econometrics we demonstrate that constructing market (beta) neutral funds by standard forecasting methods is often very...

For the major foreign exchange rates, it is found that the optimal modelling frequency of volatility is weekly for forecast horizons ranging from 1 week up to 1 month. Autoregressive modelling is based on realized volatility measures computed from 30 min returns

Recent advances in financial econometrics have allowed for the construction of efficient ex post measures of daily volatility. This paper investigates the importance of instability in models of realised volatility and their corresponding forecasts. Testing for model instability is conducted with...