Chapter 33. Short Selling Stock Indices on Signals from Implied Volatility Index Changes
Evidence from Quantile Regression-Based Techniques
David E. Allen, Abhay K. Singh, Robert J. Powell and Akhmad Kramadibrata
An investor requires a prediction of the direction of the underlying asset price movements to devise a profitable trading strategy. In most of the techniques used for forecasting, a point estimate of the expected return or its volatility is calculated. The point ...