Quantitative Finance and Economics

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Research article

• Volatility as an Alternative Asset Class: Does It Improve Portfolio Performance?

  Elvira Caloiero, Massimo Guidolin

  2017, 1 (4): 334-362. doi: 10.3934/QFE.2017.4.334

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• Testing the Lag Structure of Assets’ Realized Volatility Dynamics

  Francesco Audrino, Lorenzo Camponovo, Constantin Roth

  2017, 1 (4): 363-387. doi: 10.3934/QFE.2017.4.363

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• US Implied Volatility as A predictor of International Returns

  Mehmet F. Dicle

  2017, 1 (4): 388-402. doi: 10.3934/QFE.2017.4.388

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• Market Value Volatility and the Volume of Traded Stock for U.S. Industrial Corporations

  James P. Gander

  2017, 1 (4): 403-410. doi: 10.3934/QFE.2017.4.403

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• Asymmetry Effects in Volatility on the Major European Stock Markets: the EGARCH Based Approach

  Joanna Olbrys, Elzbieta Majewska

  2017, 1 (4): 411-427. doi: 10.3934/QFE.2017.4.411

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• How do Economic Growth Asymmetry and Inflation Expectations Affect Fisher Hypothesis and Fama’s Proxy Hypothesis?

  Yuan-Ming Lee, Kuan-Min Wang

  2017, 1 (4): 428-453. doi: 10.3934/QFE.2017.4.428

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• The Information Content of Corridor Volatility Measures During Calm and Turmoil Periods

  Elyas Elyasiani, Luca Gambarelli, Silvia Muzzioli

  2017, 1 (4): 454-473. doi: 10.3934/QFE.2017.4.454

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• Volatility Analysis of Bitcoin Price Time Series

  Lukáš Pichl, Taisei Kaizoji

  2017, 1 (4): 474-485. doi: 10.3934/QFE.2017.4.474

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