Dynamic investment strategy with factor models under regime switches
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Publication:2013300
DOI10.1007/S10690-015-9200-8zbMATH Open1368.91166OpenAlexW2093995160MaRDI QIDQ2013300FDOQ2013300
Authors: Takahiro Komatsu, Naoki Makimoto 
Publication date: 17 August 2017
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-015-9200-8
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Portfolio theory (91G10)
Cites Work
- Statistical analysis of finite mixture distributions
- Finite mixture and Markov switching models.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Statistical Inference for Probabilistic Functions of Finite State Markov Chains
- Stationarity of multivariate Markov-switching ARMA models
- A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
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