Asset allocation under multivariate regime switching

Journal of Economic Dynamics and Control

Volumn 31, Issue 11, 2007, Pages 3503-3544

  Guidolin, Massimo ^a,b   Timmermann, Allan ^c  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b FEDERAL RESERVE BANK OF ST LOUIS   (United States)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Portfolio choice; Predictability; Regime switching

Indexed keywords

EID: 34548497871     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2006.12.004     Document Type: Article

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