Less pain, more gain: Volatility-adjusted residual momentum in international equity markets
Abstract
We offer a new type of momentum strategy — the volatility-adjusted residual momentum (VARMOM) — which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset allocation within 51 country inde
URI
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85050915515&doi=10.1080%2f10293523.2018.1469290&partnerID=40&md5=c50740e2982a3e8dead2f1a3bc9de750https://dspace.yasar.edu.tr/xmlui/handle/20.500.12742/10026
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