Linear and nonlinear predictability in investment style factors : multivariate evidence
Francesco Chincoli, Massimo Guidolin
| Year of publication: |
October 2017
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|---|---|
| Authors: | Chincoli, Francesco ; Guidolin, Massimo |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 18.2017, 6, p. 476-509
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| Subject: | factor-mimicking portfolios | forecasting | Markov regime-switching models | equal predictive accuracy tests | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Schätzung | Estimation | Theorie | Theory | Kapitaleinkommen | Capital income | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41260-017-0048-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011844398