Volatility

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Monthly Cross Asset 4.05.2021 The end of the Great Moderation and the return of volatility

Since the mid-1980s, the macroeconomic volatility has declined to a postwar low. The Covid-19 crisis brought one of the largest economic shock in modern history...

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Investment Talks 27.02.2020 When the view is getting blurry, stick to main convictions
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The further spreading of the coronavirus, especially in Europe, has, in the past few days, triggered a selloff in risk assets and high demand for safe assets (U...

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Working Paper 16.12.2014 Modelling Tail Risk in a Continuous Space
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Non normal distributions are a fact of life. In the financial world, many distributions display tail risk, i.e. (negative) skewness and excess kurtosis.

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Working Paper 15.01.2012 Volatility Strategies for Global and Country Specific European Investo...
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Adding volatility exposure to an equity portfolio offers interesting opportunities for long-term investors.

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Working Paper
Working Paper 15.04.2008 Do Inflation-Linked Bonds Still Diversify?

The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly.

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