Improving performance of exchange rate momentum strategy using volatility information
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DOI: 10.1016/j.physa.2018.07.030
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- Zhang, Zhehao & Xing, Ruina & Liu, Jiajun & Shao, Yifei, 2023. "Correlation-based investment strategies: A comparison between Chinese and US stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.
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Keywords
Exchange rate momentum; Dynamic trading strategy; Volatility; Portfolio; Financial crisis;All these keywords.
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