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