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. …
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 …
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 …
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 …
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 …
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 …
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 …
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 …
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 …
financial markets and the trend-following strategy’s profitability. We restrict our attention to …
The CARMA interest rate model
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 …
model for the short and forward interest rates. This model is able to present an …