Search Results - subject:"Roll yield"

Niehaus, Joseph - In: Derivatives Applications in Asset Management : From …, (pp. 299-308). 2025

Persistent link: https://www.econbiz.de/10015434671

Vatanen, Kari - In: Derivatives Applications in Asset Management : From …, (pp. 87-104). 2025

Persistent link: https://www.econbiz.de/10015434550

Dotsis, George; Psychoyios, Dimitris - In: Applied economics letters 30 (2023) 13, pp. 1749-1753

Persistent link: https://www.econbiz.de/10014305009

Avellaneda, Marco; Papanicolaou, Andrew - In: The journal of investment strategies 7 (2018) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10011880127

Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng - In: Asia-Pacific financial markets 23 (2016) 4, pp. 281-304

Persistent link: https://www.econbiz.de/10011619949

Alexander, Carol; Kapraun, Julia; Korovilas, Dimitris - In: Financial markets, institutions & instruments 24 (2015) 4, pp. 313-347

Persistent link: https://www.econbiz.de/10011412056

de Groot, Wilma; Karstanje, Dennis; Zhou, Weili - In: Journal of Banking & Finance 48 (2014) C, pp. 79-93

-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield …

Persistent link: https://www.econbiz.de/10011077984

Groot, Wilma de; Karstanje, Dennis; Zhou, Weili - In: Journal of banking & finance 48 (2014), pp. 79-93

Persistent link: https://www.econbiz.de/10010506936