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Does variance risk premium predict expected returns?
Kuang, Xian-Ji; Hsu, Yueh-Hua; Chang, Alan; Lin, Shih-kuei - In: Applied economics letters 31 (2024) 13, pp. 1227-1233
Persistent link: https://www.econbiz.de/10014558807
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Trading timing and the returns to trend-following
Zoicas-Ienciu, Adrian - In: Applied economics letters 26 (2019) 4, pp. 311-315
Persistent link: https://www.econbiz.de/10012204197
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The role of variance risk premium in predicting excess stock market return : out-of-sample evidences
Chen, Jian; Chen, Liya; Wang, Xiaoke; Zuo, Haomiao - In: Applied economics letters 22 (2015) 16/18, pp. 1382-1388
Persistent link: https://www.econbiz.de/10011380203
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Understanding momentum in commodity markets
Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402
Persistent link: https://www.econbiz.de/10010203400
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Momentum crash, credit risk and optionality effects in bear markets and crisis periods : evidence from the US stock market
Grobys, Klaus - In: Applied economics letters 24 (2017) 4/6, pp. 387-391
Persistent link: https://www.econbiz.de/10011705358
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Re-examining differences between momentum and time series momentum among individual stocks
Mu, Yuandong; He, Chaohua - In: Applied economics letters 26 (2019) 18, pp. 1537-1543
Persistent link: https://www.econbiz.de/10012204837
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LASSO-based high-frequency return predictors for profitable Bitcoin investment
Huang, Weige; Gao, Xiang - In: Applied economics letters 29 (2022) 12, pp. 1079-1083
Persistent link: https://www.econbiz.de/10013412041
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Asset allocation based on LSTM and the Black - Litterman model
Yao, Haixiang; Li, Xiaoxin; Li, Lijun - In: Applied economics letters 31 (2024) 17, pp. 1686-1691
Persistent link: https://www.econbiz.de/10015075596
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Sentiment's effect on the variance of stock returns
Olson, Eric; Nowak, Adam - In: Applied economics letters 27 (2020) 18, pp. 1469-1473
Persistent link: https://www.econbiz.de/10012315615
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The high sensitivity of pairs trading returns
Huck, Nicolas - In: Applied economics letters 20 (2013) 13/15, pp. 1301-1304
Persistent link: https://www.econbiz.de/10010198457