Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
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Publication:1927136
DOI10.1016/j.csda.2010.10.006zbMath1254.91710OpenAlexW2006713912MaRDI QIDQ1927136
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.10.006
Markov switchingpredictabilitystrategic asset allocationout-of-sample performancevector autoregressive models
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