Concepedia

Trend-following trading strategies in commodity futures: A re-examination

Andrew C. Szakmary, Qian Shen, Subhash C. Sharma

Journal of Banking & Finance · 2009 · 227 citations · 35 references

DOI

Concepts

References

35

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

, , +10

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Narasimhan Jegadeesh, Sheridan Titman · The Journal of Finance · 1993 · 11.5K citations

, , +17

Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

Narasimhan Jegadeesh, Sheridan Titman · The Journal of Finance · 2001 · 2.6K citations

, , +12

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

William Brock, Josef Lakonishok, Blake LeBaron · The Journal of Finance · 1992 · 2.2K citations

, , +12

A test for normality of observations and regression residuals

Van Cuong Dang · 1987 · 2K citations

, , +7