Purpose – The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with replacement was used. Then, to eliminate the...

Purpose – The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with replacement was used. Then, to eliminate the...

L’objectif de ce papier est d’estimer le processus d’appariement mettant en relation le nombre

The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory. For the proposed measure, the risk associated to a given portfolio is less than the sum of the stand-alone risks of its components. This measure which is value at risk (VaR),...