The distribution of cross sectional momentum returns

DOI10.1016/j.jedc.2018.06.002zbMath1402.62098OpenAlexW2808277944WikidataQ129656156 ScholiaQ129656156MaRDI QIDQ1624492

Y. Aharonov

Publication date: 16 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2018.06.002

zbMATH Keywords

momentsreturn distributioncross sectional momentum

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

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• On the Unification of Families of Skew-normal Distributions
• The moments of the multivariate normal
• Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*

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