Index

A

actual volatility, 16-17

versus implied volatility, 20

allocation, rule based strategy, 150-154

applying filters

GARCH filter

applying to S&P 500 volatility strategy, 46-48

applying to swap rates volatility, 58-60

applying to USDJPY volatility strategy, 31-36

joint GARCH/VIX filter

applying to S&P 500 volatility strategy, 52

applying to USDJPY volatility strategy, 41

joint GARCH/vol curve filter, applying to swap rates volatility, 68-70

VIX filter

applying to carry investments, 96-103

applying to S&P 500 volatility strategy, 48-52

applying to USDJPY volatility strategy, 36-41

volatility curve filter, applying to swap rates volatility, 63-66

AUDJPY versus risky assets, 89-92

avoiding risk in carry investments, market indicators, 96-103 ...

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