Time-varying conditional profitability of momentum strategies in commodity futures market : evidence from India
Ritika Jaiswal and Rashmi Uchil
| Year of publication: |
2020
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|---|---|
| Authors: | Jaiswal, Ritika ; Uchil, Rashmi |
| Published in: |
Asian journal of business and accounting : AJBA. - Kuala Lumpur : Faculty of Business and Accountancy, ISSN 2180-3137, ZDB-ID 2945283-1. - Vol. 13.2020, 2, p. 245-276
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| Subject: | CCIL Bond Index | Commodity Market | Conditional Multi-factor Model | Momentum Strategy | Time-Varying Risk | Transaction Cost | Rohstoffderivat | Commodity derivative | Indien | India | Transaktionskosten | Transaction costs | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Rohstoffmarkt | Commodity market | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.22452/ajba.vol13no2.9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012587261