A comprehensive high pure momentum equity timing framework using the Kalman filter and ARIMA forecasting
The pursuit of higher returns has led to a growing interest in factor timing as a strategy to enhance portfolio returns. Momentum is a popular factor, which involves buying securities that have shown consistent price appreciation over the past 3 to 12 months or past few years, with the expectation t...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2024-11-01
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| Series: | Data Science in Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/DSFE.2024023 |
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