结果：找到“Time series momentum”相关内容11个，排序为按回复时间降序，搜索更多相关帖子请点击“高级”
Time series momentum(Moskowitz)
1 个回复 - 936 次查看 Moskowitz的Time series momentum，2012年出版在Journal of Financial Economics上2021-2-3 16:23 - Anemone.S - 量化投资
1 个回复 - 936 次查看 Moskowitz的Time series momentum，2012年出版在Journal of Financial Economics上2021-2-3 16:23 - Anemone.S - 量化投资
求助文献：Time series momentum and volatility scaling
4 个回复 - 455 次查看 【作者(必填)】Abby Y.Kim[/backcolor] [/backcolor]YiumanTse[/backcolor] [/backcolor]John K.Wald[/backcolor] 【文题(必填)】Time series momentum and volatility scaling 【年份(必填)】2016 【全 ...2019-5-20 17:35 - cooper56 - 求助成功区
4 个回复 - 455 次查看 【作者(必填)】Abby Y.Kim[/backcolor] [/backcolor]YiumanTse[/backcolor] [/backcolor]John K.Wald[/backcolor] 【文题(必填)】Time series momentum and volatility scaling 【年份(必填)】2016 【全 ...2019-5-20 17:35 - cooper56 - 求助成功区
Time series momentum
1 个回复 - 934 次查看 【作者(必填)】Tobias J.MoskowitzaYao HuaOoibLasse HejePedersenbc 【文题(必填)】Time series momentum 【年份(必填)】Journal of Financial Economics,Volume 104, Issue 2, May 2012, Pages 228-250 【全 ...2019-7-24 16:53 - wangzt - 求助成功区
1 个回复 - 934 次查看 【作者(必填)】Tobias J.MoskowitzaYao HuaOoibLasse HejePedersenbc 【文题(必填)】Time series momentum 【年份(必填)】Journal of Financial Economics,Volume 104, Issue 2, May 2012, Pages 228-250 【全 ...2019-7-24 16:53 - wangzt - 求助成功区
Cross-Asset Signals and Time Series Momentum
1 个回复 - 752 次查看 【作者(必填)】Aleksi Pitkäjärvi,Matti Suominen,Lauri Vaittinen 【文题(必填)】Cross-Asset Signals and Time Series Momentum 【年份(必填)】2019 【全文链接或数据库名称(选填)】 https://pape ...2019-7-24 16:08 - wangzt - 求助成功区
1 个回复 - 752 次查看 【作者(必填)】Aleksi Pitkäjärvi,Matti Suominen,Lauri Vaittinen 【文题(必填)】Cross-Asset Signals and Time Series Momentum 【年份(必填)】2019 【全文链接或数据库名称(选填)】 https://pape ...2019-7-24 16:08 - wangzt - 求助成功区
Time-Series Momentum: Is It There
1 个回复 - 811 次查看 【作者(必填)】Dashan Huang,Jiangyuan Li,Liyao Wang,Guofu Zhou 【文题(必填)】Time-Series Momentum: Is It There? 【年份(必填)】Journal of Financial Economics (JFE), Forthcoming,Apr 2019 【全文链 ...2019-7-24 16:12 - wangzt - 求助成功区
1 个回复 - 811 次查看 【作者(必填)】Dashan Huang,Jiangyuan Li,Liyao Wang,Guofu Zhou 【文题(必填)】Time-Series Momentum: Is It There? 【年份(必填)】Journal of Financial Economics (JFE), Forthcoming,Apr 2019 【全文链 ...2019-7-24 16:12 - wangzt - 求助成功区
Time-Series Momentum Trading Strategies in the Global Stock Market
1 个回复 - 686 次查看 【作者(必填)】 [*]Gagari Chakrabarti 【文题(必填)】 Time-Series Momentum Trading Strategies in the Global Stock Market 【年份(必填)】 2015 【全文链接或数据库名称(选填)】https://link.springer.c ...2018-8-8 20:28 - waterup - 求助成功区
1 个回复 - 686 次查看 【作者(必填)】 [*]Gagari Chakrabarti 【文题(必填)】 Time-Series Momentum Trading Strategies in the Global Stock Market 【年份(必填)】 2015 【全文链接或数据库名称(选填)】https://link.springer.c ...2018-8-8 20:28 - waterup - 求助成功区
Time Series Momentum Trading Strategy and Autocorrelation Amplification
4 个回复 - 2419 次查看 This article assumes general stationary processes for prices and derives the autocorrelation function for a general Moving Average (MA) trading rule to investigate why this rule is used. The resul ...2016-9-13 14:12 - hqmf2016 - 金融学（理论版）
4 个回复 - 2419 次查看 This article assumes general stationary processes for prices and derives the autocorrelation function for a general Moving Average (MA) trading rule to investigate why this rule is used. The resul ...2016-9-13 14:12 - hqmf2016 - 金融学（理论版）
Time-series and cross-sectional momentum, volatility and dispersion
2 个回复 - 2330 次查看 Variations of several momentum strategies are examined in an asset-allocation setting as well as for a set of industry portfolios. Simple models of momentum returns are considered. The difference betw ...2016-11-11 05:35 - ytw1018 - 量化投资
2 个回复 - 2330 次查看 Variations of several momentum strategies are examined in an asset-allocation setting as well as for a set of industry portfolios. Simple models of momentum returns are considered. The difference betw ...2016-11-11 05:35 - ytw1018 - 量化投资
Time Series Momentum and Macroeconomic Risk
1 个回复 - 1233 次查看 The time series momentum strategy has been shown to deliver consistent profitability over a long time horizon. Funds pursuing these strategies are now a component of many institutional portfolios, due ...2016-11-11 05:24 - ytw1018 - 量化投资
1 个回复 - 1233 次查看 The time series momentum strategy has been shown to deliver consistent profitability over a long time horizon. Funds pursuing these strategies are now a component of many institutional portfolios, due ...2016-11-11 05:24 - ytw1018 - 量化投资
Risk Adjusted Time Series Momentum
0 个回复 - 1022 次查看 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 ...2016-11-11 05:21 - ytw1018 - 量化投资
0 个回复 - 1022 次查看 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 ...2016-11-11 05:21 - ytw1018 - 量化投资
30币求一篇《Optimal Allocation to Time-Series and Cross-Sectional Momentum》
0 个回复 - 787 次查看 【作者(必填)】 AUTHOR INFORMATION [*]Olivier Schmid [*]is a senior portfolio manager and researcher at Fisch Asset Management in Zurich, Switzerland. (olivier.schmid@fam.ch) [*]Patrick Wirth [* ...2021-4-6 18:09 - jhuanshi - 文献求助专区
0 个回复 - 787 次查看 【作者(必填)】 AUTHOR INFORMATION [*]Olivier Schmid [*]is a senior portfolio manager and researcher at Fisch Asset Management in Zurich, Switzerland. (olivier.schmid@fam.ch) [*]Patrick Wirth [* ...2021-4-6 18:09 - jhuanshi - 文献求助专区
