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The rise and fall of technical trading rule success

✍ Scribed by Taylor, Nick


Book ID
122268259
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
875 KB
Volume
40
Category
Article
ISSN
0378-4266

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The purpose of this paper is to examine the performance of an important set of momentum-based technical trading rules (TTRs) applied to all members of the Dow Jones Industrial Average (DJIA) stock index over the period 1928-2012. Using a set of econometric models that permit time-variation in riskad

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