Last month I published an editorial in the Journal of Portfolio Management that turned out to be somewhat prescient. It deals with the VIX index and the problem on non-stationarity that I have addressed here before. The crux of the article follows.
In my role as an academic, I play down the importance of stationarity to get on with research efforts. When I have to make investment decisions, it is the elephant in the room. In fact, the question of stationarity is so important that it often dominates my investment decision-making and as a result renders much academic research of little practical value. The point of this commentary is to argue that finance research needs to take the question of stationarity more seriously to be more useful to investors.
Talk of inflation has been swirling for some time amid all the stimulus that's been pouring into the market and the soaring debt levels in the U.S. The Federal Reserve has said that any inflation that does occur will be temporary, but one hedge fund macro trader says there are plenty of reasons not to Read More