Moments of multivariate regime switching with application to risk-return trade-off
Abderrahim Taamouti
| Year of publication: |
2012
|
|---|---|
| Authors: | Taamouti, Abderrahim |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 2, p. 292-308
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| Subject: | Markov switching | Characteristic function | Multivariate moments | Mean-variance | Term structure | Markov-Kette | Markov chain | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Zinsstruktur | Yield curve | Schätzung | Estimation | Momentenmethode | Method of moments | CAPM | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Volatilität | Volatility |
| 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/10009615702