Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective
Year of publication: |
2010
|
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Authors: | Guidolin, Massimo |
Other Persons: | Hyde, Stuart (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model | Kapitaleinkommen | Capital income | Theorie | Theory | Finanzmarkt | Financial market |
Extent: | 1 Online-Ressource (68 p) |
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Series: | Federal Reserve Bank of St. Louis Working Paper ; No. 2010-002B |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 24, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1533525 [DOI] |
Classification: | G11 - Portfolio Choice ; C53 - Forecasting and Other Model Applications |
Source: | ECONIS - Online Catalogue of the ZBW |
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