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Market timing under multiple economic regimes

✍ Scribed by Ron Guido; Joshua Pearl; Kathleen Walsh


Book ID
110936713
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
286 KB
Volume
51
Category
Article
ISSN
0810-5391

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## Abstract A multiple‐regime threshold nonlinear financial time series model, with a fat‐tailed error distribution, is discussed and Bayesian estimation and inference are considered. Furthermore, approximate Bayesian posterior model comparison among competing models with different numbers of regim