Cross-asset time-series momentum : crude oil volatility and global stock markets
Year of publication: |
2023
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Authors: | Fernandez-Perez, Adrian ; Indriawan, Ivan ; Tse, Yiuman ; Xu, Yahua |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 154.2023, p. 1-17
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Subject: | Cross-asset predictability | Crude oil market | International stock markets | OVX | Time-series momentum | Volatilität | Volatility | Aktienmarkt | Stock market | Welt | World | Zeitreihenanalyse | Time series analysis | Ölpreis | Oil price | Kapitaleinkommen | Capital income | Ölmarkt | Oil market | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Internationaler Finanzmarkt | International financial market | Erdöl | Petroleum | Rohstoffderivat | Commodity derivative |
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