UPDF AI

Volatility filter for index tracking and long–short market-neutral strategies

Jia Miao

2007 · DOI: 10.1057/PALGRAVE.JAM.2250064
4 citations

TLDR

Empirical results show that the addition of the volatility filter improves on the excess returns generated from the index tracking strategy and the trading performance of the long–short market-neutral strategy is significantly enhanced with such a filter.