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Dynamic Portfolio Selection: the Relevance of Switching Regimes and Investment Horizon

✍ Scribed by Andreas Graflund; Birger Nilsson

Book ID
108559709
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
226 KB
Volume
9
Category
Article
ISSN
1354-7798

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πŸ“œ SIMILAR VOLUMES

Can regime-switching models reproduce th
Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?
✍ Michael P. Clements; Hans-Martin Krolzig πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 195 KB πŸ‘ 1 views

## Abstract The ability of Markov‐switching (MS) autoregressive models to replicate selected classical business cycle features found in US post‐war consumption, investment and output is compared to that of linear models. Univariate MS models appear to offer more dynamically parsimonious representat