Is there a time-series momentum effect in the Asian crude oil futures market?

Author:

Zhong Hao,He Xiaoxiao,Li Yuqi

Funder

Ministry of Education Science and Technology Industry-University Cooperation and Education Project

Sichuan Federation of Social Science Associations

Publisher

Elsevier BV

Reference28 articles.

1. Stock return predictability: is it there?;Ang;Rev. Financ. Stud.,2007

2. Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations. Market Momentum: Theory and Practice;Baltas,2020

3. Structural interpretation of vector autoregressions with incomplete identification: revisiting the role of oil supply and demand shocks;Baumeister;Am. Econ. Rev.,2019

4. Cross-sectional and time-series momentum returns: is China different?;Cheema;Pac. Basin Financ. J.,2020

5. Cross-asset time-series momentum: crude oil volatility and global stock markets;Fernandez-Perez;J. Bank. Financ.,2023

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