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Market integration dynamics and asymptotic price convergence in distribution

García-Hiernaux, Alfredo; Guerrero, David E.; McAleer, … - 2015

Persistent link: https://www.econbiz.de/10011432674

Market integration dynamics and asymptotic price convergence in distribution

García-Hiernaux, Alfredo; Guerrero, David E.; McAleer, … - 2013

Persistent link: https://www.econbiz.de/10010191280

Market integration dynamics and asymptotic price convergence in distribution

García-Hiernaux, Alfredo; Guerrero, David E.; McAleer, … - In: Economic modelling 52 (2016), pp. 913-925

Persistent link: https://www.econbiz.de/10011643102

Measuring the volatility in US treasury benchmarks and debt instruments

Hoti, Suhejla; Maasoumi, Esfandiar; McAleer, Michael; … - In: Econometric reviews 28 (2009) 6, pp. 522-554

Persistent link: https://www.econbiz.de/10003881186

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234