Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment (Q1927136)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment |
scientific article; zbMATH DE number 6119770
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment |
scientific article; zbMATH DE number 6119770 |
Statements
Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment (English)
0 references
30 December 2012
0 references
predictability
0 references
strategic asset allocation
0 references
Markov switching
0 references
vector autoregressive models
0 references
out-of-sample performance
0 references
0 references
0 references
0.7761509418487549
0 references
0.7718233466148376
0 references
0.7521886229515076
0 references
0.7376356720924377
0 references
0.7335832715034485
0 references
