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1

Trend following with momentum versus moving averages: a tale of differences

Zakamulin, Valeriy, Giner, Javier

Journal:

Quantitative Finance

Année:

2020

Langue:

english

Fichier:

PDF, 1.18 MB

english, 2020

2

The real-life performance of market timing with moving average and time-series momentum rules

Zakamulin, Valeriy

Journal:

Journal of Asset Management

Année:

2014

Langue:

english

Fichier:

PDF, 340 KB

english, 2014

3

Dynamic Asset Allocation Strategies Based on Unexpected Volatility

Zakamulin, Valeriy

Journal:

The Journal of Alternative Investments

Année:

2014

Langue:

english

Fichier:

PDF, 1.57 MB

english, 2014

4

SECULAR MEAN REVERSION AND LONG-RUN PREDICTABILITY OF THE STOCK MARKET

Zakamulin, Valeriy

Journal:

Bulletin of Economic Research

Année:

2016

Langue:

english

Fichier:

PDF, 276 KB

english, 2016

5

Revisiting the Profitability of Market Timing with Moving Averages

Zakamulin, Valeriy

Journal:

International Review of Finance

Année:

2017

Langue:

english

Fichier:

PDF, 330 KB

english, 2017

6

Market Timing with Moving Averages: Anatomy and Performance of Trading Rules

Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2015

Langue:

english

Fichier:

PDF, 185 KB

english, 2015

7

A Comprehensive Look at the Real-Life Performance of Moving Average Trading Strategies

Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2015

Langue:

english

Fichier:

PDF, 304 KB

english, 2015

8

A Test of Covariance-Matrix Forecasting Methods

Zakamulin, Valeriy

Journal:

The Journal of Portfolio Management

Année:

2015

Langue:

english

Fichier:

PDF, 834 KB

english, 2015

9

Bank loan loss provisions, investor protection and the macroeconomy

Ozili, Peterson K, Alon, Ilan, Zakamulin, Valeriy

Journal:

International Journal of Emerging Markets

Année:

2017

Langue:

english

Fichier:

PDF, 504 KB

english, 2017

10

Forecasting Stock Market Volatility: The Gains from Using Intraday Data

Li, Xingyi, Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 635 KB

english, 2016

11

Stock volatility predictability in bull and bear markets

Li, Xingyi, Zakamulin, Valeriy

Journal:

Quantitative Finance

Année:

2020

Fichier:

PDF, 1.72 MB

2020

12

Forecasting the size premium over different time horizons

Zakamulin, Valeriy

Journal:

Journal of Banking & Finance

Année:

2013

Langue:

english

Fichier:

PDF, 243 KB

english, 2013

13

Optimal Dynamic Portfolio Risk Management

Zakamulin, Valeriy

Journal:

The Journal of Portfolio Management

Année:

2016

Langue:

english

Fichier:

PDF, 750 KB

english, 2016

14

Optimal Dynamic Portfolio Risk Management

Zakamulin, Valeriy

Journal:

The Journal of Portfolio Management

Année:

2016

Langue:

english

Fichier:

PDF, 740 KB

english, 2016

15

Fooled by Data-Mining: The Real-Life Performance of Market Timing with Moving Averages

Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2013

Langue:

english

Fichier:

PDF, 61 KB

english, 2013

16

Revisiting the Profitability of Market Timing with Moving Averages

Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 89 KB

english, 2016

17

THE CARMA INTEREST RATE MODEL

ANDRESEN, ARNE, BENTH, FRED ESPEN, KOEKEBAKKER, STEEN, ZAKAMULIN, VALERIY

Journal:

International Journal of Theoretical and Applied Finance

Année:

2014

Langue:

english

Fichier:

PDF, 391 KB

english, 2014

18

Superiority of optimized portfolios to naive diversification: Fact or fiction?

Zakamulin, Valeriy

Journal:

Finance Research Letters

Année:

2016

Langue:

english

Fichier:

PDF, 531 KB

english, 2016

19

Dividend policy and stock price volatility of industrial products firms in Malaysia

Zainudin, Rozaimah, Mahdzan, Nurul Shahnaz, Yet, Chee Hong, Alon, Ilan, Zakamulin, Valeriy

Journal:

International Journal of Emerging Markets

Année:

2017

Langue:

english

Fichier:

PDF, 516 KB

english, 2017

20

The Role of Covariance Matrix Forecasting Method in the Performance of Minimum-Variance Portfolios

Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2014

Langue:

english

Fichier:

PDF, 57 KB

english, 2014

21

Superiority of Optimized Portfolios to Naive Diversification: Fact or Fiction?

Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 167 KB

english, 2016

22

Abnormal Stock Market Returns Around Peaks in VIX: The Evidence of Investor Overreaction?

Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 593 KB

english, 2016

23

Secular Mean Reversion and Long-Run Predictability of the Stock Market

Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2013

Langue:

english

Fichier:

PDF, 252 KB

english, 2013

24

Sharpe (Ratio) Thinking about the Investment Opportunity Set and CAPM Relationship

Zakamulin, Valeriy

Journal:

Economics Research International

Année:

2011

Langue:

english

Fichier:

PDF, 255 KB

english, 2011

25

Predictable Dynamics in the Small Stock Premium

Zakamulin, Valeriy

Journal:

Economics Research International

Année:

2014

Langue:

english

Fichier:

PDF, 314 KB

english, 2014

26

Yet Another Note on the Leland's Option Hedging Strategy with Transaction Costs

Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2005

Langue:

english

Fichier:

PDF, 172 KB

english, 2005

27

Optimal Dynamic Portfolio Risk Management

Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2015

Langue:

english

Fichier:

PDF, 41 KB

english, 2015

28

The term structure of volatility predictability

Li, Xingyi, Zakamulin, Valeriy

Journal:

International Journal of Forecasting

Année:

2019

Fichier:

PDF, 549 KB

2019

29

Stock Earnings and Bond Yields in the US 1871 - 2017: The Story of a Changing Relationship

Zakamulin, Valeriy, Hunnes, John A.

Journal:

The Quarterly Review of Economics and Finance

Année:

2020

Fichier:

PDF, 3.02 MB

2020

30

Interest Banking Spreads in Oman and Arab GCC

Al-muharrami, Saeed, Murthy, Y. Sree Rama, Alon, Ilan, Zakamulin, Valeriy

Journal:

International Journal of Emerging Markets

Année:

2017

Langue:

english

Fichier:

PDF, 544 KB

english, 2017

31

The determinants of corporate profitability; an investigation of Indian manufacturing firms

Nanda, Swagatika, Panda, Ajaya Kumar, Alon, Ilan, Zakamulin, Valeriy

Journal:

International Journal of Emerging Markets

Année:

2017

Langue:

english

Fichier:

PDF, 625 KB

english, 2017

32

Dynamic Volatility Weighting in the Presence of Transaction Costs

Zakamulin, Valeriy

Journal:

SSRN Electronic Journal

Année:

2015

Fichier:

PDF, 47 KB

2015