Time Series Momentum and Volatility Scaling

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

doi:10.1016/j.finmar.2016.05.003

Time Series Momentum and Volatility Scaling

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

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	Journal of Financial Markets
Volume	30
DOIs	https://doi.org/10.1016/j.finmar.2016.05.003
State	Published - Jan 9 2016

Disciplines

Economics
Finance

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title = "Time Series Momentum and Volatility Scaling",

author = "Kim, {Abby Y.} and Yiuman Tse and Wald, {John K.}",

note = "Moskowitz, Ooi, and Pedersen (2012) show that time series momentum delivers a large and significant alpha for a diversified portfolio of international...",

year = "2016",

month = jan,

day = "9",

doi = "10.1016/j.finmar.2016.05.003",

language = "American English",

volume = "30",

journal = "Journal of Financial Markets",

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TY - JOUR

T1 - Time Series Momentum and Volatility Scaling

AU - Kim, Abby Y.

AU - Tse, Yiuman

AU - Wald, John K.

N1 - Moskowitz, Ooi, and Pedersen (2012) show that time series momentum delivers a large and significant alpha for a diversified portfolio of international...

PY - 2016/1/9

Y1 - 2016/1/9

UR - https://www.sciencedirect.com/science/article/pii/S1386418116301379

U2 - 10.1016/j.finmar.2016.05.003

DO - 10.1016/j.finmar.2016.05.003

M3 - Article

VL - 30

JO - Journal of Financial Markets

JF - Journal of Financial Markets

ER -

Time Series Momentum and Volatility Scaling

Disciplines

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