Blar i AURA på forfatter "Zakamulin, Valeriy"
-
Forecasting the NSL day-ahead electricity price using autoregressive models.
Hansen, Stian (Master thesis, 2023)The European power markets have become increasingly volatile, and being able to make accurate forecasts in this environment has become more important than ever before. This thesis aims to accurately predict the North Sea ... -
Revisiting the duration dependence in the US stock market cycles
Zakamulin, Valeriy (Peer reviewed; Journal article, 2022)There is a big controversy among both investment professionals and academics regarding how the termination probability of a market state depends on its age. Using more than two centuries of data on the broad US stock market ... -
Stock earnings and bond yields in the US 1871–2017 : The story of a changing relationship
Zakamulin, Valeriy; Hunnes, John A. (Peer reviewed; Journal article, 2020) -
The seasonality in the cryptocurrency market
Greibrok, Åmund; Johansen, Jone (Master thesis, 2023)In recent times economists have tried to understand the cryptocurrency market in more detail. The cryptocurrency market has gathered widespread interest not only due to the financial gains made by several people but also ... -
Time series momentum in the US stock market: Empirical evidence and theoretical analysis
Zakamulin, Valeriy; Giner, Javier (Peer reviewed; Journal article, 2022)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 studying the time series momentum ... -
Trend following with momentum versus moving averages : a tale of differences
Zakamulin, Valeriy; Giner, Javier (Journal article; Peer reviewed, 2020)