risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one … uncertainty with risk and return of stock trading. In terms of methodology, we show the effect that using an encompassing prior … better results in terms of profit per capital engagement and risk than using a standard linear normalization …

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock … international volatility risk proxies. We find that international volatility risks are negatively associated with contemporaneous … risk (DVIX) is particularly powerful in forecasting Chinese daytime stock returns, and plays a dominant role relative to …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

The relationship between risk and expected returns has been investigated extensively in the financial economics … with time-varying asymmetry, linked to the upside and downside uncertainty, the risk-return puzzle is investigated across … skewness on the total price of risk. That is, in the absence of skewness the relationship between risk and return is positive …