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Do momentum-based strategies still work in foreign currency markets?
Okunev, John; White, Derek - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 2, pp. 425-447
Persistent link: https://www.econbiz.de/10001766880
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Is the risk-return relation positive? : Further evidence from a stochastic volatility in mean approach
Loudon, Geoffrey F. - In: Applied financial economics 16 (2006) 13, pp. 981-992
Persistent link: https://www.econbiz.de/10003377852
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Foreign exchange exposure and the pricing of currency risk in equity returns : some Australian evidence
Loudon, Geoffrey F. - In: Pacific-Basin finance journal 1 (1993) 4, pp. 335-354
Persistent link: https://www.econbiz.de/10001158643
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The impact of global financial market uncertainty on the risk-return relation in the stock markets of G7 countries
Loudon, Geoffrey F. - In: Studies in economics and finance 34 (2017) 1, pp. 2-23
Persistent link: https://www.econbiz.de/10011740671
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An analysis of the risk factors underlying hedge fund returns
Okunev, John; White, Derek - In: Intelligent hedge fund investing, (pp. 303-364). 2004
Persistent link: https://www.econbiz.de/10003286918
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Hedge Fund Risk Factors and the Value at Risk of Fixed Income Trading Strategies
Loudon, Geoff; Okunev, John; White, Derek - In: The journal of fixed income 16 (2006) 2, pp. 46-61
Persistent link: https://www.econbiz.de/10007305998
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Do Momentum-Based Strategies Still Work in Foreign Currency Markets?
Okunev, John; White, Derek - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 2, pp. 425-448
Persistent link: https://www.econbiz.de/10006694522
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Do Momentum-Based Strategies Still Work in Foreign Currency Markets?
Okunev, John; White, Derek - In: Journal of Financial and Quantitative Analysis 38 (2003) 02, pp. 425-447
This paper examines the performance of momentum trading strategies in foreign exchange markets. We find the well-documented profitability of momentum strategies during the 1970s and the 1980s has continued throughout the 1990s. Our approach and findings are insensitive to the specification of...
Persistent link: https://www.econbiz.de/10005139020
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Regime shifts in the stock-bond relation in Australia
Hobbes, Garry; Lam, Frewen; Loudon, Geoffrey F. - In: Review of Pacific Basin financial markets and policies 10 (2007) 1, pp. 81-99
Persistent link: https://www.econbiz.de/10003463390
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Is volatility risk priced after all? : some disconfirming evidence
Loudon, Geoffrey F.; Rai, Alan M. - In: Applied financial economics 17 (2007) 4/6, pp. 357-368
Persistent link: https://www.econbiz.de/10003446031