Semivariance and Time Series Momentum in Futures
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Time Series Momentum and Reversal: Intraday Information from Realized Semivariance
Zhenya Liu; Shanglin Lu; Bo Li; Shixuan Wang
Aix-Marseille Université
Renmin University of China- CERGAM, Aix-Marseille University
- Renmin University of China - School of Finance
- Beijing International Studies University
University of Reading- University of Reading - Department of Economics
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