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Picking winners to pick your winners : The momentum effect in commodity risk factors
Zaremba, Adam; Mikutowski, Mateusz; Karathanasopoulos, … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-13
Persistent link: https://www.econbiz.de/10012203145
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: The North American journal of economics and finance : a … 25 (2013), pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
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Size and value effects in high-tech industries : the role of R&D investment
Yu, Lin; Liu, Xiaoquan; Fung, Hung-gay; Leung, Wai K. - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012658819
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Forecasting stock market returns : new technical indicators and two-step economic constraint method
Dai, Zhifeng; Dong, Xiaodi; Kang, Jie; Hong, Lianying - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012642438
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Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics : evidence from the Chinese stock market
Shi, Huai-Long; Zhou, Wei-Xing - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013186512
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Betas V characteristics : do stock characteristics enhance the investment opportunity set in U.K. stock returns?
Fletcher, Jonathan - In: The North American journal of economics and finance : a … 46 (2018), pp. 114-129
Persistent link: https://www.econbiz.de/10012036611
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Time-varying variance scaling : application of the fractionally integrated ARMA model
Chen, An-sing; Chang, Hung-Chou; Cheng, Lee-Young - In: The North American journal of economics and finance : a … 47 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012117796
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Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo; Guillén, Montserrat - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
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An information diffusion model for momentum effect based on investor wealth
Yang, Haijun; Ge, Hengshun; Gao, Xinpeng - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013413450
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Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013187623