Memory-enhanced momentum in commodity futures markets-Reference-Cited by-同舟云学术

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Memory-enhanced momentum in commodity futures markets

Published:2023-06-06 Issue: Volume: Page:1-30
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Mehlitz Julia S.¹,Auer Benjamin R.²³⁴

Affiliation:

1. Chair of Finance, Brandenburg University of Technology Cottbus-Senftenberg, Cottbus, Germany

2. Chair of Finance, Friedrich Schiller University Jena, Jena, Germany

3. Department of Finance, University of Leipzig, Leipzig, Germany

4. Research Network Area Macro, Money and International Finance, CESifo Munich, Munich, Germany

Funder

Deutsche Bundesbank

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2023.2220118

Reference131 articles.

1. Financialization in commodity markets: A passing trend or the new normal?

2. Does the choice of fund performance measure matter?

3. Second-order moving average and scaling of stochastic time series

4. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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