Time series momentum and reversal : intraday information from realized semivariance

Zhenya Liu, Shanglin Lu, Bo Li, Shixuan Wang

Year of publication:	2023
Authors:	Liu, Zhenya ; Lu, Shanglin ; Li, Bo ; Wang, Shixuan
Published in:	Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 72.2023, p. 54-77
Subject:	Commodity futures pricing \| High-frequency data \| Momentum reversal \| Realized semivariance \| Time series momentum \| Zeitreihenanalyse \| Time series analysis \| Volatilität \| Volatility \| Börsenkurs \| Share price \| Momentenmethode \| Method of moments \| Prognoseverfahren \| Forecasting model \| Rohstoffderivat \| Commodity derivative \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Anlageverhalten \| Behavioural finance

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