Time-Series Momentum: A Monte Carlo Approach
In this article the authors develop a Monte Carlo backtesting procedure for risk premium strategies and employ it to study time-series momentum (TSM). Relying on time-series models, empirical residual distributions, and copulas, the authors address two key drawbacks of conventional backtesting proce...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
With intelligence
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |