Akindynos-Nikolaos Balta, Robert Kosowski: Constructing a time-series momentum strategy involves the volatility-adjusted aggregation of univariate strategies and therefore relies heavily on the efficiency of the volatility estimator and on the quality of the momentum trading signal.
Imperial College Business School
EDHEC Business School
|Type :||Working paper|
|Date :||le 06/08/2012|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ firstname.lastname@example.org ]|
|Research Cluster :||Finance|