Revisiting the time series momentum anomaly
Yonghwan Jo and Jihee Kim
| Year of publication: |
2019
|
|---|---|
| Authors: | Jo, Yonghwan ; Kim, Jihee |
| Published in: |
Annals of economics and finance. - Beijing : Peking University Press, ISSN 1529-7373, ZDB-ID 2097904-6. - Vol. 20.2019, 2, p. 767-782
|
| Subject: | Asset pricing | Time series momentum | Volatility scaling | Futurespricing | International financial markets | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Internationaler Finanzmarkt | International financial market | Börsenkurs | Share price | CAPM | Finanzmarkt | Financial market | Momentenmethode | Method of moments | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012175644