Time series momentum and volatility scaling
Year of publication: |
September 2016
|
---|---|
Authors: | Kim, Abby Y. ; Tse, Yiuman ; Wald, John K. |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 30.2016, p. 103-124
|
Subject: | Momentum | Futures pricing | International asset allocation | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Momentenmethode | Method of moments | Welt | World | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
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