Asymmetry, tail risk and time series momentum

Zhenya Liu, Shanglin Lu and Shixuan Wang
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Zhenya Liu: CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Université - UTLN - Université de Toulon

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Date: 2021-11
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Published in International Review of Financial Analysis, 2021, 78, pp.101938. ⟨10.1016/j.irfa.2021.101938⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03511436

DOI: 10.1016/j.irfa.2021.101938

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