Time series momentum and volatility scaling-Reference-Cited by-同舟云学术

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Time series momentum and volatility scaling

Published:2016-09 Issue: Volume:30 Page:103-124
ISSN:1386-4181
Container-title:Journal of Financial Markets
language:en
Short-container-title:Journal of Financial Markets

Author:

Kim Abby Y.,Tse Yiuman,Wald John K.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference33 articles.

1. Leverage aversion and risk parity;Asness;Financ. Anal. J.,2012

2. Value and momentum everywhere;Asness;J. Financ.,2013

3. A model of investor sentiment;Barberis;J. Financ. Econ.,1998

4. Momentum strategies in futures markets and trend-following funds;Baltas,2013

5. Demystifying time-series momentum strategies: volatility estimators, trading rules and pairwise correlations;Baltas,2015

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