Javier Giner

University of La Laguna - Faculty of Economics, Business and Tourism

Camino La Hornera s/n

La Laguna, Tenerife, 38071

Spain

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 8,198

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Top 8,198

in Total Papers Downloads

10,561

SSRN CITATIONS

10

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

Optimal Trend Following Rules in Two-State Regime-Switching Models

Number of pages: 42 Posted: 18 Oct 2022 Last Revised: 06 Nov 2023
Valeriy Zakamulin and Javier Giner
University of Agder - School of Business and Law and University of La Laguna - Faculty of Economics, Business and Tourism
Downloads 3,476 (6,513)

Abstract:

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Markov model, semi-Markov model, bull-bear markets, optimal trend-following, moving averages

2.

Trend Following with Momentum Versus Moving Average: A Tale of Differences

Number of pages: 41 Posted: 19 Dec 2018
Valeriy Zakamulin and Javier Giner
University of Agder - School of Business and Law and University of La Laguna - Faculty of Economics, Business and Tourism
Downloads 3,181 (7,474)
Citation 5

Abstract:

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Technical Analysis, Trend Following, Momentum, Moving Average, Return Predictability

3.

Optimal Trend-Following With Transaction Costs

Number of pages: 41 Posted: 22 Nov 2022 Last Revised: 18 Mar 2023
Valeriy Zakamulin and Javier Giner
University of Agder - School of Business and Law and University of La Laguna - Faculty of Economics, Business and Tourism
Downloads 1,353 (28,409)

Abstract:

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stock market, trend-following, transaction costs, simple moving average, moving average crossover

4.

A Regime-Switching Model of Stock Returns with Momentum and Mean Reversion

Economic Modelling, Forthcoming
Number of pages: 45 Posted: 31 Dec 2021 Last Revised: 22 Mar 2023
Javier Giner and Valeriy Zakamulin
University of La Laguna - Faculty of Economics, Business and Tourism and University of Agder - School of Business and Law
Downloads 953 (46,958)
Citation 1

Abstract:

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time-series momentum, mean reversion, bull and bear markets, duration dependence, semi-Markov model

5.

Time Series Momentum in the US Stock Market: Empirical Evidence and Theoretical Analysis

Number of pages: 44 Posted: 22 May 2020 Last Revised: 15 Mar 2022
Valeriy Zakamulin and Javier Giner
University of Agder - School of Business and Law and University of La Laguna - Faculty of Economics, Business and Tourism
Downloads 863 (53,871)
Citation 6

Abstract:

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time series momentum, trend-following, profitability, statistical power

6.

Optimal Trend-Following in a Markov Switching Model

Number of pages: 12 Posted: 02 May 2022
Valeriy Zakamulin and Javier Giner
University of Agder - School of Business and Law and University of La Laguna - Faculty of Economics, Business and Tourism
Downloads 557 (95,106)

Abstract:

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Markov switching model, bull-bear markets, optimal trend-following, moving averages

7.

Correlation As Probability: Applications of Sheppard’s Formula to Financial Assets

Number of pages: 19 Posted: 27 Dec 2018
Javier Giner, Judit Mendoza and Sandra Morini
University of La Laguna - Faculty of Economics, Business and Tourism, University of La Laguna and University of La Laguna
Downloads 178 (317,653)

Abstract:

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Correlation; Stock Returns; Joint Probability; Bivariate Normal Distribution