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Cross-Asset Time-Series Momentum Strategy : A New Suggestion

Xu, Dezhong; Li, Bin; Singh, Tarlok; Park, Jung Chul - 2022

We propose a new investment strategy, the improved cross-asset time-series momentum (I-XTSM) strategy, to improve investment performance. Using data on 25 investment portfolios and common commodities for the period from January 1990 to April 2021, we find that the I-XTSM strategy increases...

Persistent link: https://www.econbiz.de/10014239453

A variance-ratio test of random walk in international stock markets

Li, Bin; Liu, Benjamin - In: The empirical economics letters : a monthly … 11 (2012) 8, pp. 775-782

Persistent link: https://www.econbiz.de/10010199252

Forecasting stock volatility using after-hour information : evidence from the Australian Stock Exchange

Jayawardena, Nirodha I.; Todorova, Neda; Li, Bin; Su, Jen-je - In: Economic modelling 52 (2016), pp. 592-608

Persistent link: https://www.econbiz.de/10011642932

An investigation into the interdependence of global water indices : a VAR analysis

Reza, Rajibur; Tularam, Gurudeo Anand; Li, Bin - In: Applied economics 49 (2017) 8, pp. 769-796

Persistent link: https://www.econbiz.de/10011810888

Volatility forecasting using related markets' information for the Tokyo stock exchange

Jayawardena, Nirodha I.; Todorova, Neda; Li, Bin; Su, Jen-je - In: Economic modelling 90 (2020), pp. 143-158

Persistent link: https://www.econbiz.de/10012428085

Forecasting corporate performance : VECM comparison with other time series models

Darrat, Ali F. (contributor) - In: Studies in economics and finance 19 (1999) 2, pp. 49-61

Persistent link: https://www.econbiz.de/10001441696

On currency substitution and money demand instability

Darrat, Ali F. - In: International review of economics & finance : IREF 5 (1996) 3, pp. 321-334

Persistent link: https://www.econbiz.de/10001214476

Have budget deficits and money growth caused changes in interest rates and exchange rates in Canada?

Darrat, Ali F. - In: The North American review of economics and finance : a … 2 (1991) 1, pp. 69-82

Persistent link: https://www.econbiz.de/10001117054

On the real estate market efficiency

Darrat, Ali F. - In: The journal of real estate finance and economics 7 (1993) 1, pp. 55-72

Persistent link: https://www.econbiz.de/10001169420

Testing long memory in the presence of structural breaks : an application to regional and national housing markets

Ngene, Geoffrey M.; Lambert, Charles A.; Darrat, Ali F. - In: The journal of real estate finance and economics 50 (2015) 4, pp. 465-483

Persistent link: https://www.econbiz.de/10011474578