This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined dynamically in the time and frequency domains....

We propose a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast of market risk. We find that modifying asset allocation according to our market risk barometer offers investors the promising opportunity...

Research showing that the lowest risk stocks tend to outperform the highest risk stocks over time has led to rapid growth in so-called low-risk equity investing in recent years. We examine the performance of the low-risk strategy previously considered in the literature and of a beta-neutral...