User profiles for Valeriy Zakamulin

Valeriy Zakamulin (aka Valeri Zakamouline)

Professor of Finance, University of Agder, Norway
Verified email at uia.no
Cited by 1378

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

V Zakamulin, J Giner - Quantitative Finance, 2020 - Taylor & Francis
Despite the ever-growing interest in trend following and a series of publications in academic
journals, there is a dearth of theoretical results on the properties of trend-following rules. …

[BOOK][B] Market timing with moving averages: The anatomy and performance of trading rules

V Zakamulin - 2017 - books.google.com
This book provides a comprehensive guide to market timing using moving averages. Part I
explores the foundations of market timing rules, presenting a methodology for examining how …

Dynamic Asset Allocation Strategies Basedon Unexpected Volatility

V Zakamulin - The Journal of Alternative Investments, 2014 - pm-research.com
Several hurdles hamper the commercialization of (scientific) knowledge, especially in Europe.
Both from a financial and operational perspective, opportunities emerge for new business …

Stock volatility predictability in bull and bear markets

X Li, V Zakamulin - Quantitative Finance, 2020 - Taylor & Francis
The recent literature on stock return predictability suggests that it varies substantially across
economic states, being strongest during bad economic times. In line with this evidence, we …

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

V Zakamulin - Journal of Asset Management, 2014 - Springer
In this article, we revisit the myths regarding the superior performance of market timing
strategies based on moving average and time-series momentum rules. These active timing …

A test of covariance-matrix forecasting methods

V Zakamulin - Journal of Portfolio Management, 2015 - search.proquest.com
Providing a more accurate covariance matrix forecast can substantially improve the performance
of optimized portfolios. Using out-of-sample tests, in this article the author evaluates …

[HTML][HTML] Optimal trend-following with transaction costs

V Zakamulin, J Giner - International Review of Financial Analysis, 2023 - Elsevier
Despite the widespread popularity of trend-following investing, optimal trend-following in
the presence of transaction costs remains poorly understood. Existing studies on the subject …

Forecasting the size premium over different time horizons

V Zakamulin - Journal of Banking & Finance, 2013 - Elsevier
In this paper, we provide evidence that the small stock premium is predictable both in-sample
and out-of-sample through the use of a set of lagged macroeconomic variables. We find …

[HTML][HTML] Time series momentum in the US stock market: Empirical evidence and theoretical analysis

V Zakamulin, J Giner - International Review of Financial Analysis, 2022 - Elsevier
There is much controversy in the academic literature on the presence of short-term trends in
financial markets and the trend-following strategy’s profitability. We restrict our attention to …

The CARMA interest rate model

…, FE Benth, S Koekebakker, V Zakamulin - International journal of …, 2014 - World Scientific
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA)
model for the short and forward interest rates. This model is able to present an …