Showing 1 - 3 of 3
A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...
Persistent link: https://www.econbiz.de/10011563065
Time varying patterns in US growth are analyzed using various univariate model structures, starting from a naive model structure where all features change every period to a model where the slow variation in the conditional mean and changes in the conditional variance are specified together with...
Persistent link: https://www.econbiz.de/10010399680
Persistent link: https://www.econbiz.de/10010191002