Browsing AURA by Author "Godek, Magdalena Anna"
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The Performance of the Volatility-Targeting Strategy : The Impact of the Volatility Forecasting Methodology and Trading Frequency on the Performance of the Volatility-Targeting Strategy
Godek, Magdalena Anna (Master thesis, 2021)Many researchers analyzed the performance of the volatility-targeting strategy (see, e.g., Moreira and Muir (2017) or Harvey, Hoyle, Korgaonkar, Rattray, Sargaison, and Hemert (2018)). It is a very tempting strategy as it ...