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Risk-adjusted time series momentum
Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014
We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 liquid futures contracts and show that RAMOM strategies...
Persistent link: https://www.econbiz.de/10011293745
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The unemployment-stock market relationship in South Africa : evidence from symmetric and asymmetric cointegration models
Phiri, Andrew - In: Managing global transitions : international research journal 15 (2017) 3, pp. 231-254
Persistent link: https://www.econbiz.de/10012135608
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Time-varying Granger causality between the stock market and unemployment in the United States
Fromentin, Vincent - In: Applied economics letters 30 (2023) 3, pp. 371-378
Persistent link: https://www.econbiz.de/10013553475
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Equilibrium asset prices with undiversifiable labor income risk
Weil, Philippe - 1990
Persistent link: https://www.econbiz.de/10000801360
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Equilibrium asset prices with undiversifiable labor income risk
Weil, Philippe - 1991
Persistent link: https://www.econbiz.de/10000824257
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Equilibrium asset prices with undiversifiable labor income risk
Weil, Philippe - 1992
Persistent link: https://www.econbiz.de/10000136587
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Asynchronous risk : retirement savings, equity markets, and unemployment
Seligman, Jason S.; Wenger, Jeffrey B. - In: Journal of pension economics and finance 5 (2006) 3, pp. 237-255
Persistent link: https://www.econbiz.de/10003395493
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Stock volatility during the recent financial crisis
Schwert, George William - 2011
a link between stock volatility and real economic activity, such as unemployment rates, it can be misleading …
Persistent link: https://www.econbiz.de/10009009190
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Stock market, economic performance, and presidential elections
Chien, Wen-wen; Mayer, Roger W.; Wang, Zigan - In: Journal of business & economics research 12 (2014) 2, pp. 159-170
Persistent link: https://www.econbiz.de/10010362126
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Jobs, unemployment, and macroeconomic transmission
Hansen, Niels-Jakob Harbo - 2016
Persistent link: https://www.econbiz.de/10011551179