Return-based style analysis with time-varying exposures

European Journal of Finance

Volumn 12, Issue 6-7, 2006, Pages 529-552

  Swinkels, Laurens ^a,b   Van Der Sluis, Pieter Jelle ^c,d,e  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^b Robeco Group   (Netherlands)

^c VU UNIVERSITY AMSTERDAM   (Netherlands)

^d ABP Investments ^*  (Netherlands)

^e Research Department   (Netherlands)

Author keywords

Dynamic models; Kalman filter; Mutual funds; Style analysis

Indexed keywords

EID: 33748790381     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470500248508     Document Type: Article

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