Matches in SemOpenAlex for { <https://semopenalex.org/work/W1509479920> ?p ?o ?g. }
Showing items 1 to 68 of
68
with 100 items per page.
- W1509479920 endingPage "492" @default.
- W1509479920 startingPage "479" @default.
- W1509479920 abstract "This chapter investigates the profitability of a strategy based on short selling indices. It is constructed on the principle of the importance of leverage effects, which relates to the fact that increases in volatility are linked with falls in stock prices and vice versa for decreases in volatility. Several new techniques based on the use of forward-looking implied volatilities on two indices, the FTSE100 and the S&P 500 are used to generate short and long trading strategies in the two indices. These strategies employ variants of quantile regression-based techniques, including linear quantile regression, kernel-based quantile regression, and quantile regression random forests, to predict quantile intervals and employ changes in these to generate a trading strategy. Out of these, Kernel-based quantile regression methods appear to generate the greatest returns in the hold-out sample periods and dominate buy and hold returns. Kernel quantile regression is an evolving quantile regression technique in the field of nonlinear quantile regressions. As it is capable of modeling the nonlinear behavior of time series data, it proves to be more efficient in forecasting risk than other methods, including linear quantile regression." @default.
- W1509479920 created "2016-06-24" @default.
- W1509479920 creator A5008569166 @default.
- W1509479920 creator A5012912368 @default.
- W1509479920 creator A5062084442 @default.
- W1509479920 creator A5067524393 @default.
- W1509479920 date "2012-01-01" @default.
- W1509479920 modified "2023-09-23" @default.
- W1509479920 title "Short Selling Stock Indices on Signals from Implied Volatility Index Changes" @default.
- W1509479920 cites W143636487 @default.
- W1509479920 cites W1573647811 @default.
- W1509479920 cites W1974758710 @default.
- W1509479920 cites W1985514943 @default.
- W1509479920 cites W2004546853 @default.
- W1509479920 cites W2078483536 @default.
- W1509479920 cites W2092622249 @default.
- W1509479920 cites W2105694966 @default.
- W1509479920 cites W2167250202 @default.
- W1509479920 cites W2911964244 @default.
- W1509479920 doi "https://doi.org/10.1016/b978-0-12-387724-6.00033-7" @default.
- W1509479920 hasPublicationYear "2012" @default.
- W1509479920 type Work @default.
- W1509479920 sameAs 1509479920 @default.
- W1509479920 citedByCount "0" @default.
- W1509479920 crossrefType "book-chapter" @default.
- W1509479920 hasAuthorship W1509479920A5008569166 @default.
- W1509479920 hasAuthorship W1509479920A5012912368 @default.
- W1509479920 hasAuthorship W1509479920A5062084442 @default.
- W1509479920 hasAuthorship W1509479920A5067524393 @default.
- W1509479920 hasConcept C102366305 @default.
- W1509479920 hasConcept C105795698 @default.
- W1509479920 hasConcept C118671147 @default.
- W1509479920 hasConcept C149782125 @default.
- W1509479920 hasConcept C153083717 @default.
- W1509479920 hasConcept C162324750 @default.
- W1509479920 hasConcept C200695384 @default.
- W1509479920 hasConcept C33923547 @default.
- W1509479920 hasConcept C63817138 @default.
- W1509479920 hasConcept C91602232 @default.
- W1509479920 hasConceptScore W1509479920C102366305 @default.
- W1509479920 hasConceptScore W1509479920C105795698 @default.
- W1509479920 hasConceptScore W1509479920C118671147 @default.
- W1509479920 hasConceptScore W1509479920C149782125 @default.
- W1509479920 hasConceptScore W1509479920C153083717 @default.
- W1509479920 hasConceptScore W1509479920C162324750 @default.
- W1509479920 hasConceptScore W1509479920C200695384 @default.
- W1509479920 hasConceptScore W1509479920C33923547 @default.
- W1509479920 hasConceptScore W1509479920C63817138 @default.
- W1509479920 hasConceptScore W1509479920C91602232 @default.
- W1509479920 hasLocation W15094799201 @default.
- W1509479920 hasOpenAccess W1509479920 @default.
- W1509479920 hasPrimaryLocation W15094799201 @default.
- W1509479920 hasRelatedWork W1509479920 @default.
- W1509479920 hasRelatedWork W2130472313 @default.
- W1509479920 hasRelatedWork W2171769143 @default.
- W1509479920 hasRelatedWork W2568409420 @default.
- W1509479920 hasRelatedWork W3095910368 @default.
- W1509479920 hasRelatedWork W3122495866 @default.
- W1509479920 hasRelatedWork W3124338515 @default.
- W1509479920 hasRelatedWork W3128481383 @default.
- W1509479920 hasRelatedWork W4229368883 @default.
- W1509479920 hasRelatedWork W4315628995 @default.
- W1509479920 isParatext "false" @default.
- W1509479920 isRetracted "false" @default.
- W1509479920 magId "1509479920" @default.
- W1509479920 workType "book-chapter" @default.