Volatility
How volatility clusters, why it spikes when markets fall, and how to size positions around it.
| Citation | Paper | Access | Difficulty | Score |
|---|---|---|---|---|
| Cederburg et al. (2020) | On the Performance of Volatility-Managed Portfolios Journal of Financial Economics | Free | Moderate | 0 |
| Moreira & Muir (2017) | Volatility-Managed Portfolios Journal of Finance | Free | Moderate | 0 |
| Johnson (2017) | Risk Premia and the VIX Term Structure Journal of Financial and Quantitative Analysis | Free | Technical | 0 |
| Simon & Campasano (2014) | The VIX Futures Basis: Evidence and Trading Strategies Journal of Derivatives | Paywalled | Moderate | 0 |
| Corsi (2009) | A Simple Approximate Long-Memory Model of Realized Volatility Journal of Financial Econometrics | Paywalled | Technical | 0 |
| Bollerslev et al. (2009) | Expected Stock Returns and Variance Risk Premia Review of Financial Studies | Paywalled | Technical | 0 |
| Whaley (2009) | Understanding the VIX Journal of Portfolio Management | Paywalled | Easy read | 0 |
| Bekaert & Wu (2000) | Asymmetric Volatility and Risk in Equity Markets Review of Financial Studies | Paywalled | Technical | 0 |
| Andersen & Bollerslev (1998) | Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts International Economic Review | Paywalled | Technical | 0 |
| Schwert (1989) | Why Does Stock Market Volatility Change Over Time? Journal of Finance | Paywalled | Moderate | 0 |
| Bollerslev (1986) | Generalized Autoregressive Conditional Heteroskedasticity Journal of Econometrics | Paywalled | Technical | 0 |
| Engle (1982) | Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation Econometrica | Paywalled | Technical | 0 |