Momentum and the cross-section of stock volatility
type: Item
instance of: scholarly article
title: Momentum and the cross-section of stock volatility
author: Minyou Fan
author: Fearghal Kearney
author: Youwei Li
author: Jiadong Liu
publication date: 2022-12-12T00:00:00Z
Mathematics Subject Classification ID: 91-XX
zbMATH DE Number: 7631998
zbMATH Keywords: cross-sectional momentum
zbMATH Keywords: momentum crashes
zbMATH Keywords: generalised risk-adjusted momentum
zbMATH Keywords: excess volatility
zbMATH Keywords: volatility timing
MaRDI profile type: Publication
full work available at URL: j.jedc.2022.104524
OpenAlex ID: W4297180987
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DOI: 10.1016/J.JEDC.2022.104524
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 7631998