Moments of multivariate regime switching with application to risk-return trade-off
Year of publication: |
2012
|
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Authors: | Taamouti, Abderrahim |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 2, p. 292-308
|
Subject: | Markov switching | Characteristic function | Multivariate moments | Mean-variance | Term structure | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Markov-Kette | Markov chain | CAPM | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Momentenmethode | Method of moments | Zinsstruktur | Yield curve | Volatilität | Volatility |
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