Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment (Q1927136)
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scientific article; zbMATH DE number 6119770
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment |
scientific article; zbMATH DE number 6119770 |
Statements
Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment (English)
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30 December 2012
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predictability
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strategic asset allocation
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Markov switching
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vector autoregressive models
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out-of-sample performance
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