Asymmetry, tail risk and time series momentum
Year of publication: |
2021
|
---|---|
Authors: | Liu, Zhenya ; Lu, Shanglin ; Wang, Shixuan |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 78.2021, p. 1-15
|
Subject: | Commodity futures | Momentum reversal | Partial moments | Time series momentum | Zeitreihenanalyse | Time series analysis | Momentenmethode | Method of moments | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Volatilität | Volatility | Schätzung | Estimation | Rohstoffderivat | Commodity derivative | Risikoprämie | Risk premium |
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