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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

Descriptive Notes

Title from PDF title page (viewed on 24 Nov., 2010).

Topics

Stocks
Stocks :: Mathematical models
Investments
Investments :: Mathematical models

Catalogue Data

OBNB ID GBB0E0855
ISBN 10 n/a
ISBN 13 n/a
Type BibliographicResource, Book

ISBD

P1053 69 p.
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.