Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
type: Item
instance of: scholarly article
title: Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
zbMATH Open document ID: 1254.91710
author: Massimo Guidolin
author: Stuart Hyde
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6119770
zbMATH Keywords: predictability
zbMATH Keywords: strategic asset allocation
zbMATH Keywords: Markov switching
zbMATH Keywords: vector autoregressive models
zbMATH Keywords: out-of-sample performance
MaRDI profile type: Publication
full work available at URL: j.csda.2010.10.006
OpenAlex ID: W2006713912
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DOI: 10.1016/J.CSDA.2010.10.006
description: scientific article; zbMATH DE number 6119770