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Treating cross‐sectional and time series momentum returns as forecasts

Kwon, Oh Kang; Satchell, Stephen - In: Journal of Forecasting 40 (2020) 5, pp. 834-848

Persistent link: https://www.econbiz.de/10012406780

The distribution of cross sectional momentum returns when underlying asset returns are student's t distributed

Kwon, Oh Kang; Satchell, Stephen - In: Journal of Risk and Financial Management 13 (2020) 2, pp. 1-19

In Kwon and Satchell (2018), a theoretical framework was introduced to investigate the distributional properties of the cross-sectional momentum returns under the assumption that the vector of asset returns over the ranking and holding periods were multivariate normal. In this paper, the...

Persistent link: https://www.econbiz.de/10012611257

The distribution of cross sectional momentum returns

Kwon, Oh Kang; Satchell, Stephen - In: Journal of economic dynamics & control 94 (2018), pp. 225-241

Persistent link: https://www.econbiz.de/10012004391

The analytics of momentum

Kwon, Oh Kang; Satchell, Stephen - In: The journal of asset management 20 (2019) 6, pp. 433-441

Persistent link: https://www.econbiz.de/10012125379

The distribution of cross sectional momentum returns when underlying asset returns are student’s t distributed

Kwon, Oh Kang; Satchell, Stephen - In: Journal of risk and financial management : JRFM 13 (2020) 2/27, pp. 1-19

Persistent link: https://www.econbiz.de/10012173937

The Leland model as a consistent framework for analytic valuation of equity and options on equity

Kwon, Oh Kang; Grant, Andrew; Satchell, Stephen - In: The journal of derivatives : JOD 30 (2023) 4, pp. 28-45

Persistent link: https://www.econbiz.de/10014306862