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Modeling style rotation: switching and re-switching - MaRDI portal

Modeling style rotation: switching and re-switching

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Publication:1695654

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DOI10.1515/JTSE-2012-0028zbMath1462.62722OpenAlexW3122542103MaRDI QIDQ1695654

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: http://eprints.bbk.ac.uk/id/eprint/5956

zbMATH Keywords

market dynamics asset prices style rotation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Modeling style rotation: switching and re-switching

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