An Approach to Modeling on Financial Time Series Data with Regime Shifts
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DOI: 10.15057/30973
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References listed on IDEAS
- Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004.
"An econometric model of serial correlation and illiquidity in hedge fund returns,"
Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
- Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc.
- Ryozo Miura & Yoshimitsu Aoki & Daisuke Yokouchi, 2009. "A note on statistical models for individual hedge fund returns," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 553-577, July.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
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