Science or scientism? On the momentum illusion

DOI10.1007/s10436-024-00446-5MaRDI QIDQ6655449

Klaus Grobys

Publication date: 23 December 2024

Published in: Annals of Finance (Search for Journal in Brave)

zbMATH Keywords

asset pricingriskfinancial riskmomentumpower lawstime aggregationrealized variance

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites Work

• Financial power laws: empirical evidence, models, and mechanisms
• Is volatility lognormal? Evidence from Italian futures
• Power-Law Distributions in Empirical Data
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Distribution of Realized Exchange Rate Volatility
• Modeling and Forecasting Realized Volatility

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