Long Run Returns Predictability and Volatility with Moving Averages

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The important...

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Bibliographic Details
Main Authors: Chia-Lin Chang, Jukka Ilomäki, Hannu Laurila, Michael McAleer
Format: Article
Language:English
Published: MDPI AG 2018-09-01
Series:Risks
Subjects:
Online Access:http://www.mdpi.com/2227-9091/6/4/105

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