Clemens Struck

University College Dublin

School of Economics

Belfield, Dublin 4

Ireland

http://ccstruck.weebly.com

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Time-Series Momentum: A Monte-Carlo Approach

Number of pages: 44 Posted: 05 Apr 2019
Enoch Cheng and Clemens Struck
University of Colorado at Denver - Department of Economics and University College Dublin
Downloads 4,032 (2,093)

Abstract:

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Monte-Carlo, Extreme Value Theory, Backtesting, Risk Premia, Time-Series Momentum