Moments of multivariate regime switching with application to risk-return trade-off
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DOI: 10.1016/j.jempfin.2011.12.001
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- Erik Kole & Dick van Dijk, 2022. "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers 21-080/III, Tinbergen Institute, revised 11 Jan 2022.
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More about this item
Keywords
Markov switching; Characteristic function; Multivariate moments; Mean–variance; Term structure;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G19 - Financial Economics - - General Financial Markets - - - Other
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