The robustness of the volatility factor: linear versus nonlinear factor model
| Autor: | Carmine De Franco, Massimo Guidolin, Bruno Monnier |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
010407 polymers
050208 finance Stochastic volatility Markov chain Strategy and Management 05 social sciences VOLATILITY ANOMALY Implied volatility SABR volatility model 01 natural sciences BAYESIAN ESTIMATION 0104 chemical sciences NONLINEAR FACTOR MODELS Management of Technology and Innovation VOLATILITY ANOMALY FACTOR MODELS NONLINEAR FACTOR MODELS MARKOV SWITCHING BAYESIAN ESTIMATION 0502 economics and business Econometrics Forward volatility Economics FACTOR MODELS MARKOV SWITCHING Alternative beta Volatility (finance) Finance Factor analysis |
| Popis: | This article investigates the trade-off between an extension of the standard three-factor model including a new volatility factor compared to a parsimonious Markov switching model in the context of performance and risk analysis for a set of popular alternative beta strategies. The authors use Bayesian techniques to estimate a two-state (bull and bear) regime-switching model. Over the period of 1969–2014, they show that the inclusion of a time-varying feature in the standard model is as good as the extension of the volatility factor, at least in explaining the alphas for some alternative beta strategies. |
| Databáze: | OpenAIRE |
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