A regime-switching model of stock returns with momentum and mean reversion
Javier Giner, Valeriy Zakamulin
| 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
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2023.106237 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014388630