Volatility Timing in the Vietnamese Stock Market
In this paper, we evaluate the economic value that arise from incorporating conditional volatility when forecasting the covariance matrix of returns for both short and long horizons in the Vietnamese stock market, using the volatility timing framework of Fleming et al. (2001). We report three main f...
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| Autor principal: | |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Emerald Publishing
2016-12-01
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| Col·lecció: | Journal of International Economics and Management |
| Matèries: | |
| Accés en línia: | https://jiem.ftu.edu.vn/index.php/jiem/article/view/157 |
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