7 citations · 16 across the 4 of their papers we have counts for
Showing q-fin.STShow all
2 papers · 1 filter
q-fin.ST2022
A note on VIX for postprocessing quantitative strategies
Jun Lu, Minhui Wu
In this note, we introduce how to use Volatility Index (VIX) for postprocessing quantitative strategies so as to increase the Sharpe ratio and reduce trading risks. The signal from…
q-fin.ST2022★ 6 cited
Reducing overestimating and underestimating volatility via the augmented blending-ARCH model
Jun Lu, Shao Yi
SVR-GARCH model tends to "backward eavesdrop" when forecasting the financial time series volatility in which case it tends to simply produce the prediction by deviating the previou…