Chevallier, Julien; Ielpo, Florian - In: Managerial Finance 40 (2014) 7, pp. 662-680
Purpose – The purpose of this paper is to contain an empirical application of the concept of “time series momentum” – as developed by Moskowitz et al. (2012) – to commodity markets with daily data during 1995-2012. Design/methodology/approach – The paper applies the new concept of...