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Can VAR models capture regime shifts in asset returns? : a long-horizon strategic asset allocation perspective

Massimo Guidolin

Publication Data

Title Can VAR models capture regime shifts in asset returns? : a long-horizon strategic asset allocation perspective
Author Massimo Guidolin
Contributors Stuart Hyde, Manchester Business School
Publisher Manchester Business School
Publication date 2010
Publication location Manchester
Language English

Topics

Stocks :: Rate of return :: Econometric models
Asset allocation

Catalogue Data

OBNB ID GBB1A4898
ISBN 10 n/a
ISBN 13 n/a
Type BibliographicResource, Book
Dewey Classification 332.6322

ISBD

P1053 67 leaves
P1042 Includes bibliographical references.

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Can VAR models capture regime shifts in asset returns? : a long-horizon strategic asset allocation perspective by Massimo Guidolin. Published by Manchester Business School in 2010. Publication and catalogue information, links to buy online and reader comments.