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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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Hovedforfatter: Thi Hoang Anh Nguyen
Format: Artigo
Sprog:Inglês
Udgivet: Emerald Publishing 2016-12-01
Serier:Journal of International Economics and Management
Fag:
conditional variance-covariance matrix
volatility timing
asset allocation
economic value
vietnamese stock markets
Online adgang:https://jiem.ftu.edu.vn/index.php/jiem/article/view/157
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