References Allen, D., McAleer, M., & Scharth, M. (2014). Asymmetric realized volatility risk. Journal of Risk and Financial Management, 7, 80-109. Allen, F., & Karjalainen, R. (1999). Using genetic algorithms to find technical trading rules. Journal of Financial Economics, 51, 245-271. Ang, A., & Bekaert, G. (2007). Stock return predictability: Is it there? Review of Financial Studies, 20, 651-707. Baker, M., Bradley, B., & Wurgler, J. (2011). Benchmark as limits to arbitrage: Understanding the low-volatility anomaly. Financial Analysts Journal, 67, 1-15. Black, F. (1986). Noise. Journal of Finance, 41, 528-543. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327. Boudoukh, J., Richardson, M., & Whitelaw, R. (2008). The myth of long-horizon predictability. Review of Financial Studies, 21, 1577-1603. Brock, W., Lakonishok, J., & LeBaron, B. (1992). Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance, 47, 1731-1764. Brown, D., & Jennings, R. (1989). On technical analysis. Review of Financial Studies, 2, 527-551. Campbell, J., & Cochrane, J. (1999). By force of habit: Consumption-based explanation of aggregate stock market behavior. Journal of Political Economy, 107, 205-251. Campbell, J., & Shiller, R. (1988). The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies, 1, 195-228. Campbell, J., & Thompson, S. (2008). Predicting excess returns out of sample: can anything beat the historical average? Review of Financial Studies, 21, 1509-1532. Campbell, J., & Viceira, I. (1999). Consumption and portfolio decisions when expected returns are time varying. Quarterly Journal of Economics, 114, 433-495. Campbell, J. & Yogo, M. (2006). Efficient test of stock return predictability. Journal of Financial Economics, 81, 27-60. Chang, C. & McAleer, M. (2012). Aggregation, heterogenous autoregression and volatility of daily international tourist arrivals and exchange rates. Japanese Economic Review, 63, 397-419. Chang, C., McAleer, M. & Tansuchat, R. (2012). Modelling long memory volatility in agricultural commodity futures returns. Annals of Financial Economics, 2, 1-27. Cochrane, J. (1999). New facts in finance. Economic Perspectives, 23, 36-58. Cochrane, J. (2008). The dog that did not bark: A defense of return predictability. Review of Financial Studies, 21, 1533-1573. Cochrane, J. (2011). Discount rates. Journal of Finance, 66, 1047-1108. Corsi, F. (2009) A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7, 174-196. Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007. Engle, R., & Bollerslev, T. (1986). Modelling the persistence of conditional variances. Econometric Reviews, 5, 1-30. Fama, E. (1998). Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics, 49, 283-306. Fama, E. & French, K., (1988). Dividend yields and expected returns. Journal of Financial Economics, 22, 3-25. Gartley, H. (1935). Profits in the Stock Markets. Washington: Lambert-Gann Publishing. Hjalmarsson, E. (2010). Predicting global stock returns. Journal of Financial and Quantitative Analysis, 45, 49-80. Hudson, R., McGroarty, F., & Urquhart, A. (2017). Sampling frequency and the performance of different types of technical trading rules. Finance Research Letters, 22, 136-139. Ilomäki, J. (2018). Risk and return of a trend-chasing application in financial markets: an empirical test. Risk Management 20, 258-271. Ilomäki, J., Laurila, H., McAleer, M., (2018). Market timing with moving averages. Sustainability, 10 (7:2125), 2018, 1-25. LeRoy, S. (1973). Risk aversion and the martingale property of stock prices. International Economic Review, 14, 436-446. Lintner, J. (1965). The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47, 13-37. Lo, A., Mamaysky, H., Wang, J. (2000). Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation. Journal of Finance, 54, 1705-1770. Lucas, R. (1978), Asset prices in an exchange economy. Econometrica, 46, 1429-1445. Maio, P. (2014). Don’t fight the Fed! Review of Finance, 18, 623–679. Markowitz, H. (1952), Portfolio selection. Journal of Finance 7, 77-91. Malkiel, B. (2003), The efficient market hypothesis and its critics. Journal of Economic Perspectives 17, 59-82. Marshall, B., Nguyen, N., Visaltanachoti, N. (2017). Time series momentum and moving average trading rules. Quantitative Finance 17, 405-421. McAleer, M. (2014). Asymmetry and leverage in conditional volatility models. Econometrics 2(3), 145-150. Menkhoff, L. (2010). The use of technical analysis by fund managers: International evidence. Journal of Banking and Finance, 34, 2573-2586. Menzly, L., Santos, T., & Veronesi, P. (1999). Understanding predictability. Journal of Political Economy, 112, 1-47. Merton, R. (1973). An intertemporal capital asset pricing model. Econometrica, 41, 867-887. Merton, R. (1981), On market timing and investment performance. I. An equilibrium theory of value for market forecast, Journal of Business 54: 363-406. Neely, C., Rapach, D., Tu, J., Zhou, G. (2014). Forecasting equity risk premium: The role of technical indicators. Management Science 66, 1772-1791. Ni, Y., Liao, Y., Huang, P. (2015). MA trading rules, and stock market overreaction. International Review of Economics and Finance, 39, 253-265. Sharpe, W. (1964), Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19, 425-442. Shiller, R. (1981). Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review, 71, 421-436. Sullivan, R., Timmermann, A., White, H. (1999), Data-snooping, technical trading rule performance and the bootstrap. Journal of Finance 53, 1647-1691. Tobin, J. (1958), Liquidity preference as behavior towards risk, Review of Economic Studies, 67. 65-86. Valkanov, R. (2003). Long-horizon regressions: Theoretical results and applications. Journal of Financial Economics, 68, 201-232. Zhu, Y., Zhou, G. (2009). Technical analysis: An asset allocation perspective on the use of moving averages. Journal of Financial Economics, 91, 519-544. Yamamoto, R. (2012). Intraday technical analysis of individual stocks on the Tokyo Stock Exchange. Journal of Banking and Finance, 36, 3033-3047.