THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE
Year of publication: |
2014
|
---|---|
Authors: | GATUMEL, MATHIEU ; IELPO, FLORIAN |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 17.2014, 06, p. 1450040-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Bull and bear markets | Markov switching models | number of regimes | density based tests |
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