A regime-switching model of stock returns with momentum and mean reversion
Year of publication: |
2023
|
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Authors: | Giner, Javier ; Zakamulin, Valeriy |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 122.2023, p. 1-17
|
Subject: | Bull and bear markets | Duration dependence | Mean reversion | Return autocorrelation function | Semi-Markov model | Time-series momentum | Kapitaleinkommen | Capital income | Mean Reversion | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Autokorrelation | Autocorrelation | Schätzung | Estimation | Theorie | Theory | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | CAPM |
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