Not all bull and bear markets are alike : insights from a five-state hidden semi-Markov model
Year of publication: |
2023
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Authors: | Zakamulin, Valeriy |
Published in: |
Risk management : an international journal. - Berlin : Springer Nature Limited, ISSN 1743-4637, ZDB-ID 2180561-1. - Vol. 25.2023, 1, Art.-No. 5, p. 1-25
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Subject: | Bull and bear markets | Optimal asset allocation | Semi-Markov models | Stock market regimes | US stock market | Aktienmarkt | Stock market | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Markov-Kette | Markov chain | Volatilität | Volatility |
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