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...

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...

Long memory is a stylized fact found in most financial return series. In this paper, we seek to examine the impact of the presence of long memory on the dependence structure. First, we fit the multivariate dependence structure using R-vine copulas for pairs of raw and filtered returns. Second,...