AQR Time-Series Momentum (Moskowitz, Ooi, Pedersen 2012) replication with walk-forward GARCH(1,1) volatility-targeting extension applied per asset class.
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Updated
Jun 15, 2026 - Python
AQR Time-Series Momentum (Moskowitz, Ooi, Pedersen 2012) replication with walk-forward GARCH(1,1) volatility-targeting extension applied per asset class.
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