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Intraday time-series momentum and investor trading behavior

Onishchenko, Olena; Zhao, Jing; Kuruppuarachchi, Duminda; … - In: Journal of behavioral and experimental finance 31 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012815827

Zeitparametervariable Analyse und Visualisierung von Finanzdaten : Methoden der Investmentprozessbegleitung fondsgebundener Anlageformen

Schelwies, Norman - 2008 - 1. Aufl.

Viele aktive Entscheidungen bei der Anlage in Wertpapieren werden auf Basis von Informationen getroffen, die mit Hilfe empirischer Analysen historischer Finanzdaten gewonnen wurden. Leider sind die meisten Ergebnisse dieser Analysen sehr anfällig gegenüber einer Änderung der Zeitparameter,...

Persistent link: https://www.econbiz.de/10003678800

Asset allocation with time series momentum and reversal

He, Xue-zhong; Li, Kai; Li, Youwei - In: Journal of economic dynamics & control 91 (2018), pp. 441-457

Persistent link: https://www.econbiz.de/10011974221

Three non-Gaussian models of dependence in returns

Madan, Dilip B. - In: Advanced modelling in mathematical finance : in honour …, (pp. 107-130). 2016

Persistent link: https://www.econbiz.de/10011800343

Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds

Nunkoo, Houmera Bibi Sabera; Gonpot, Preethee Nunkoo; … - In: Studies in economics and finance 39 (2022) 1, pp. 150-173

Persistent link: https://www.econbiz.de/10012798505

Trends everywhere

Babu, Abhilash; Levine, Ari; Ooi, Yao Hua; Pedersen, … - In: Journal of investment management : JOIM 18 (2020) 1, pp. 52-68

Persistent link: https://www.econbiz.de/10012254356

Determinants of equity mutual fund flows : evidence from the fund flow dynamics between Hong Kong and global markets

Fong, Tom; Sze, Kin Wan; Ho, Ho Cheung - In: Journal of international financial markets, … 57 (2018), pp. 231-247

Persistent link: https://www.econbiz.de/10012127630

The trend is your friend : time-series momentum strategies across equity and commodity markets

Georgopoulou, Athina; Wang, Jiaguo - In: Review of finance : journal of the European Finance … 21 (2017) 4, pp. 1557-1592

Persistent link: https://www.econbiz.de/10011804328

Decomposition of Time Series Data to Check Consistency between Fund Style and Actual Fund Composition of Mutual Funds

Sen, Jaydip - 2016

We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed scheme can be applied to check whether the style proclaimed for a mutual fund actually matches...

Persistent link: https://www.econbiz.de/10012980597

Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

The relevance of the development is determined by the possibility of testing a complex analytical methodology for forecasting the daily volatility of Bulgarian investment funds, which will support the investment community in making adequate investment decisions. The used risk attribution...

Persistent link: https://www.econbiz.de/10014436423