跨资产时间序列动量(股票与原油)

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学术论文

跨资产时间序列动量:原油期权与全球股票市场

作者Adrián Fernández-Pérez; Ivan Indriawan; Yiuman Tse; Yahua Xu

机构
  • Auckland University of Technology
  • Auckland University of Technology - Department of Finance
  • University of Missouri–St. Louis
  • University of Missouri at Saint Louis
  • Central University of Finance and Economics
  • Central University of Finance and Economics (CUFE) - China Economics and Management Academy

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投资标的:USO、SHY。再平衡:每月。Universe: USO, SHY. Parameters: rebalance=monthly.