Options-implied information and the momentum cycle
Year of publication: |
2021
|
---|---|
Authors: | Liu, Ming-Yu ; Chuang, Wen-I ; Lo, Chien-Ling |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 53.2021, p. 1-17
|
Subject: | Early- and late-stage momentum strategies | Implied volatility spread and skew | Momentum stage | Options-implied information | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Momentenmethode | Method of moments | Welt | World |
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