TY  - RPRT
AU  - Chang, Chia-Lin
AU  - Ilomäki, Jukka
AU  - Laurila, Hannu
AU  - McAleer, Michael
PY  - 2018
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17442
AB  - The paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affect financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when...
LA  - eng
KW  - Trading strategies
KW  - Risk
KW  - Moving average
KW  - Market timing
KW  - Returns predictability
KW  - Volatility
KW  - Rolling window
KW  - Data frequency.
TI  - Long Run Returns Predictability and Volatility with Moving Averages
TY  - technical report
VL  - 2018
ER  -