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Time-varying variance scaling : application of the fractionally integrated ARMA model

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Forecasting multivariate volatility using the VARFIMA model on realized covariance Cholesky factors

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The real-life performance of market timing with moving average and time-series momentum rules

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Das stochastische Investmentmodell von Wilkie

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Optimal market timing strategies for ARMA(1,1) return processes

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Market Timing with a Robust Moving Average

Zakamulin, Valeriy - 2015

In this paper we entertain a method of finding the most robust moving average weighting scheme to use for the purpose of timing the market. Robustness of a weighting scheme is defined its ability to generate sustainable performance under all possible market scenarios regardless of the size of...

Persistent link: https://www.econbiz.de/10013021961