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On the time-varying dynamics of stock and commodity momentum returns
Stadtmüller, Immo; Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 46 (2022) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10013341591
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Pure return persistence, Hurst exponents and hedge fund selection : a practical note
Auer, Benjamin R. - In: The journal of asset management 17 (2016) 5, pp. 319-330
Persistent link: https://www.econbiz.de/10011634661
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Performance hypothesis testing with the sharpe ratio : the case of hedge funds
Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 10 (2013) 4, pp. 196-208
Persistent link: https://www.econbiz.de/10010252332