Risk-managed industry momentum and momentum crashes

DOI10.1080/14697688.2017.1420211zbMath1406.91492OpenAlexW3122949467MaRDI QIDQ4619515

Janne Äijö, Klaus Grobys, Joni Ruotsalainen

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1420211

zbMATH Keywords

industry momentumoptionality effectasset pricing momentum crash

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

Detecting stock market turning points using wavelet leaders method

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds

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