Sentences with phrase «momentum measurement interval»
We compare correlations by ranked fifth (quintile) of VIX at the end of the past return measurement interval to determine (in - sample) optimal time series momentum measurement intervals for different ranges of VIX.
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We compare correlations by ranked fifth (quintile) of VIX at the end of the past return measurement interval to determine (in - sample) optimal time series momentum measurement intervals for different ranges of VIX.
Not exact matches
The past return interval for momentum measurement is four weeks, augmented by a one - week delay in portfolio formation to avoid short - term reversal.