• No results found

Markov switching Asset Allocation: Do Profitable Strategies Exist?

N/A
N/A
Protected

Academic year: 2020

Share "Markov switching Asset Allocation: Do Profitable Strategies Exist?"

Copied!
21
0
0

Loading.... (view fulltext now)

Full text

Loading

Figure

Figure 1: Number of wrong state classifications by the Viterbi and smooth-ing algorithm
Table 1: Descriptive statistics of daily returns
Table 2: Parameter estimates for the in-sample Markov-switching modelwith conditional Gaussian distributions
Table 3: In-sample performance of Markov-switching strategies
+4

References

Related documents

humanrights.org/uploads/us_hrc_-_migrant_detention_-_sept_2014_2.pdf. Sixty-two percent of immigration detention beds are operated by private prison corporations. Moreover,

In this paper we develop a finger-vein image synthesis model, based on vein pattern growth from nodes to patterns, which incorporates realistic imaging

The Daily Telegraph continues on this line, explaining the risk of collective violent reactions as a result of the lack of social structures, and the discredit brought upon

Following is a list of methods for obtaining journal articles either from your library or through an alternative document delivery service.. Please indicate whether or not

This paper will examine these two ways of improving group productivity and knowledge sharing and will give some research tracks to check if Collaboration Engineering

In order to minimize the risk of importing disease carrying rodents or insects ( e.g., malaria, yellow fever) or pests that might cause crop damage, a few countries require

This study examined the Impact of Information and Communication Technology and financial innovation on the performance of commercial banks in Nigeria, using conveniently

We briefly presented fault injection techniques and described how virtualization can be used to inject mutants in memory without altering the source code of the applications. Let