Cross-Sectional Analysis through Rank-based Dynamic Portfolios
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- Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic Portfolios," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00707430, HAL.
References listed on IDEAS
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Keywords
Finance; continuous time random walk; cross-section analysis; rank-based models; momentum.; Modèle à base de rang; analyse transversale; Momentum; Marche aléatoire en temps continu.;All these keywords.
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