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Memory-enhanced momentum in commodity futures markets

Mehlitz, Julia S.; Auer, Benjamin R. - In: The European journal of finance 30 (2024) 8, pp. 773-802

Persistent link: https://www.econbiz.de/10014547998

Asymmetry, tail risk and time series momentum

Liu, Zhenya; Lu, Shanglin; Wang, Shixuan - In: International review of financial analysis 78 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013255854

Speculators and time series momentum in commodity futures markets

Uhl, Björn - In: Review of financial economics : RFE 43 (2025) 2, pp. 213-230

Persistent link: https://www.econbiz.de/10015358982

Time series momentum and reversal : intraday information from realized semivariance

Liu, Zhenya; Lu, Shanglin; Li, Bo; Wang, Shixuan - In: Journal of empirical finance 72 (2023), pp. 54-77

Persistent link: https://www.econbiz.de/10014476799

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

Persistent link: https://www.econbiz.de/10013113663

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...

Persistent link: https://www.econbiz.de/10013149486