IDEAS home Printed from https://ideas.repec.org/p/uop/wpaper/00046.html
   My bibliography  Save this paper

The Economic Value of Volatility Timing in the Athens Stock Exchange

Author

Listed:
  • Dimitrios Vortelinos

Abstract

This paper examines the economic value of various realized volatility and covariance estimators under the strategy of volatility timing. There are used three types of portfolios: Global Minimum Variance, Capital Market Line kai Capital Market Line with only positive weights. The state-of-the-art estimators of volatilities and covariances use 5-min high-frequency intraday data. The dataset concerns the FTSE-20, FTSE-40 and FTSE-80 indices of the Athens Stock Exchange (ASE). As far as I know, this is the rst work of its kind for the ASE equity market. Results concern not only the comparison of various estimators but also the comparison of different types of portfolios, in the strategy of volatility timing. The economic value of the contemporary non-parametric realized volatility estimators is more significant than the covariance of the daily squared returns. Moreover, the economic value of each estimator changes with the volatility timing.

Suggested Citation

  • Dimitrios Vortelinos, 2009. "The Economic Value of Volatility Timing in the Athens Stock Exchange," Working Papers 00046, University of Peloponnese, Department of Economics.
  • Handle: RePEc:uop:wpaper:00046
    as

    Download full text from publisher

    File URL: http://econ.uop.gr/~econ/RePEc/pdf/econ_value_vol_timing_ASE.pdf
    Download Restriction: no

    More about this item

    Keywords

    portfolio analysis; intraday data; optimal sampling; microstructure; volatility forecasting; covariance; Athens Stock Exchange; volatility timing.;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uop:wpaper:00046. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kleanthis Gatziolis). General contact details of provider: http://edirc.repec.org/data/depelgr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.