Revisiting the time series momentum anomaly
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 | Momentenmethode | Method of moments | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Welt | World | Finanzmarkt | Financial market |
-
Cross-asset signals and time series momentum
Pitkäjärvi, Aleksi, (2020)
-
Vandenbruaene, Jonas, (2023)
-
Fan, Minyou, (2018)
- More ...
-
The impact of liquidity risk in the Chinese banking system on the global commodity markets
Jo, Yonghwan, (2022)
-
A Schumpeterian Model of Top Income Inequality
Jones, Charles I., (2014)
-
The Economic Costs of Trade Sanctions: Evidence from North Korea
Kim, Jihee, (2023)
- More ...