A comprehensive high pure momentum equity timing framework using the Kalman filter and ARIMA forecasting

The pursuit of higher returns has led to a growing interest in factor timing as a strategy to enhance portfolio returns. Momentum is a popular factor, which involves buying securities that have shown consistent price appreciation over the past 3 to 12 months or past few years, with the expectation t...

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Bibliographic Details
Main Authors: Tsumbedzo Mashamba, Modisane Seitshiro, Isaac Takaidza
Format: Article
Language:English
Published: AIMS Press 2024-11-01
Series:Data Science in Finance and Economics
Subjects:
Online Access:https://www.aimspress.com/article/doi/10.3934/DSFE.2024023
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