Momentum profits and conditional time-varying systematic risk
Year of publication: |
2014
|
---|---|
Authors: | Morelli, David |
Published in: |
Journal of International Financial Markets, Institutions and Money. - Elsevier, ISSN 1042-4431. - Vol. 29.2014, C, p. 242-255
|
Publisher: |
Elsevier |
Subject: | Momentum profits | Trading strategies | Time-varying systematic risk | ARCH/GARCH models | UK stock market |
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