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Predicting risk : some new generalizations

Karolyi, G. Andrew - In: Management science : journal of the Institute for … 38 (1992) 1, pp. 57-74

Persistent link: https://www.econbiz.de/10001121830

Maximizing predictability in the stock and bond markets

Lo, Andrew W. - In: Macroeconomic dynamics 1 (1997) 1, pp. 102-134

Persistent link: https://www.econbiz.de/10001337437

Economic tracking portfolios

Lamont, Owen A. - 1999

Persistent link: https://www.econbiz.de/10001378519

Extreme dependence in investor attention and stock returns : consequences for forecasting stock returns and measuring systemic risk

Scheffer, Marcus; Weiß, Gregor - In: Quantitative finance 20 (2020) 3, pp. 425-446

Persistent link: https://www.econbiz.de/10012194900

Are agribusiness stocks an investor safe haven?

D'Antoni, Jeremy M.; Detre, Joshua Dean - In: Agricultural finance review 74 (2014) 4, pp. 522-538

Persistent link: https://www.econbiz.de/10011305888

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