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Jondeau et al., 2012 - Google Patents

On the importance of time variability in higher moments for asset allocation

Jondeau et al., 2012

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Document ID
1165231859118883663
Author
Jondeau E
Rockinger M
Publication year
Publication venue
Journal of Financial Econometrics

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Snippet

It is well known that strategies that allow investors to allocate their wealth using return and volatility forecasts, the use of which are termed market and volatility timing, are of significant value. In this paper, we show that distribution timing, defined here as the ability to use …
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