This applied methodology paper introduces an intuitive framework for constructing robust market timing signals based on implied volatility indices with a focus on downside avoidance.
Please download the full article here for English and here for Japanese.
This book provides a unified evaluation framework of fixed income volatility for interest-rate swaps, government bonds, time-deposits
and credit. It develops model-free, forward-looking indexes of fixed income volatility that match different quoting conventions across various markets, and
uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income