Enhancing risk-adjusted return using time series momentum in sovereign bonds
Year of publication: |
2015
|
---|---|
Authors: | Hambusch, Gerhard ; Hong, KiHoon Jimmy ; Webster, Ellenora |
Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 25.2015, 1, p. 96-111
|
Subject: | Zeitreihenanalyse | Time series analysis | Öffentliche Anleihe | Public bond | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Momentenmethode | Method of moments | Portfolio-Management | Portfolio selection | Volatilität | Volatility |
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