Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies
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Publication:5219968
DOI10.1080/00949655.2012.740671zbMath1453.62708OpenAlexW3124184874MaRDI QIDQ5219968
Loukia Meligkotsidou, Ioannis D. Vrontos
Publication date: 9 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2012.740671
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Economic time series analysis (91B84)
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Variable selection in quantile regression via Gibbs sampling ⋮ Evidence for hedge fund predictability from a multivariate Student'stfull-factor GARCH model
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