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State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective …
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Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...
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momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of …
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