The Baltic Dry Index: cyclicalities, forecasting and hedging strategies F Papailias, DD Thomakos, J Liu Empirical Economics 52 (1), 255-282, 2017 | 85 | 2017 |
Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches M Fan, Y Li, J Liu Research in International Business and Finance 46, 131-140, 2018 | 22 | 2018 |
Return Signal Momentum F Papailias, J Liu, DD Thomakos Journal of Banking & Finance 124, 106063, 2021 | 19 | 2021 |
A reexamination of factor momentum: How strong is it? M Fan, Y Li, M Liao, J Liu Financial Review 57 (3), 585-615, 2022 | 14 | 2022 |
Momentum and the Cross-section of Stock Volatility M Fan, F Kearney, Y Li, J Liu Journal of Economic Dynamics and Control 144, 104524, 2022 | 12 | 2022 |
Time Series Reversal in Trend Following Strategies J Liu, F Papailias European Financial Management 29 (1), 76-108, 2023 | 6 | 2023 |
Direction-of-change forecasting in commodity futures markets J Liu, F Papailias, B Quinn International Review of Financial Analysis 74, 101677, 2021 | 3 | 2021 |