Revisiting time series momentum in China's commodity futures market : evidence on sources of momentum profits
Lei Ming, Wuqi Song, Minyi Dong
| Year of publication: |
2023
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|---|---|
| Authors: | Ming, Lei ; Song, Wuqi ; Dong, Minyi |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 128.2023, p. 1-18
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| Subject: | Commodity futures | Pooled regression | Profitability | Time series momentum | Rohstoffderivat | Commodity derivative | Zeitreihenanalyse | Time series analysis | China | Momentenmethode | Method of moments | Kapitaleinkommen | Capital income | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Rentabilität |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2023.106522 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014464418