Maximizing equity market sector predictability in a Bayesian time-varying parameter model

The Kalman filter methodology is employed to develop a dynamic sector allocation model for US equities. Bayesian parameter estimation and model selection criteria result in significantly improved sector return predictability over static or rolling parameter specifications. A simple trading strategy illustrates how widely tested financial and economic variables can be used as inputs in for a potentially profitable investment strategy.

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Year of publication:	2008
Authors:	Johnson, Lorne D. ; Sakoulis, Georgios
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 52.2008, 6, p. 3083-3106
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005172465