Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
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Publication:1927136
DOI10.1016/J.CSDA.2010.10.006zbMATH Open1254.91710OpenAlexW2006713912MaRDI QIDQ1927136FDOQ1927136
Authors: Massimo Guidolin, Stuart Hyde 
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
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vector autoregressive modelsMarkov switchingpredictabilitystrategic asset allocationout-of-sample performance
Cites Work
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Strategic asset allocation
- Asset allocation under multivariate regime switching
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
- Intradaily dynamic portfolio selection
- Stock and bond return predictability: the discrimination power of model selection criteria
- Forecast comparison of principal component regression and principal covariate regression
Cited In (5)
- Asset allocation with correlation: a composite trade-off
- Portfolio selection in a data-rich environment
- Markov switching in portfolio choice and asset pricing models: a survey
- Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
- Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
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