Forecasting Long-Horizon Factor Volatility

Activity: Talk or presentation › Science to science

Period2022
Event title37. Workshop of the Austrian Working Group on Banking and Finance
Event typeWorkshop
LocationKlagenfurt, AustriaShow on map

Keywords

  • return volatility
  • volatility forecasting
  • factor investing
  • multi-asset
  • state variables
  • predictors
  • risk management
  • out-of-sample