Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied Economics Letters 20 (2013) 15, pp. 1383-1402
This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest rates and equities. The data cover the period 1995--2012...