Time-Varying Factor Model Components for Effective Momentum Strategy

Jamie L. Cross, Lennart Hoogerheide, Herman (H.K.) van Dijk

Research output: Working paper / Preprint › Working paper › Professional

Name	TI Discussion Paper Series
No.	24-068/III

Access to Document

@techreport{4fd29aae9a0a4f2baa8620965af9636a,

title = "Time-Varying Factor Model Components for Effective Momentum Strategy",

author = "Cross, {Jamie L.} and Lennart Hoogerheide and {van Dijk}, {Herman (H.K.)}",

year = "2024",

month = oct,

day = "31",

language = "English",

volume = "24-068/III",

series = "TI Discussion Paper Series",

publisher = "Tinbergen Institute",

number = "24-068/III",

type = "WorkingPaper",

institution = "Tinbergen Institute",

}