Can VAR models capture regime shifts in asset returns? : a long-horizon strategic asset allocation perspective
Massimo Guidolin; Stuart Hyde
| Year of publication: |
2012
|
|---|---|
| Authors: | Guidolin, Massimo ; Hyde, Stuart |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 36.2012, 3, p. 695-716
|
| Subject: | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model | Kapitaleinkommen | Capital income | Theorie | Theory | Finanzmarkt | Financial market | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009540509