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Improving Time-Series Momentum Strategies: The Role of Trading Signals and Volatility Estimators
55/55 checkable references clean · checked 2026-08-27
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The 55 checked references that resolve
resolves10.1016/b978-1-78548-008-9.50003-4
Trend-Following, Risk-Parity and the Influence of Correlations
resolves10.1016/s0304-405x(02)00259-3
The economic value of volatility timing using “realized” volatility
resolves10.1016/j.jbankfin.2010.04.009
Tactical allocation in commodity futures markets: Combining momentum and term structure signals
resolves10.1093/rfs/10.2.275
Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
resolves10.1093/rfs/14.2.313
The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers
resolves10.1017/s0022109012000117
It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification
resolves10.2307/1913610
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
resolves10.1016/j.jempfin.2008.08.001
Model averaging in risk management with an application to futures markets
resolves10.1080/758526905
Estimating the volatility of stock prices: a comparison of methods that use high and low prices
resolves10.1086/209650
Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices
The 5 references without a DOI — listed, not checked
no DOI — not checkedEstimating historical volatility
no DOI — not checkedref25
no DOI — not checkedref31
no DOI — not checkedDemystifying managed futures
no DOI — not checkedCalmar Ratio: A smoother tool
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