Quant Mashup - Outcast Beta

Employing volatility of volatility in long-term volatility forecasts [Outcast Beta]

We demonstrate how simple long-term volatility forecasts can be improved by incorporating the volatility of short-term volatility into forecasting models. The theoretical framework for modelling volatility of short-term volatility, along with its role in long-term forecasts, will be outlined.(...)

On inflation and stock returns [Outcast Beta]

Are stocks an inflation hedge? At least in the long run? We find the answer to both questions is no. While fundamental returns—comprising dividend return and earnings growth—do help hedge inflation, valuation changes undermine this hedge. This holds true whether we examine yearly returns,(...)