State Space Models for Dynamic Style Analysis of Portfolios
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- Laurens Swinkels & Pieter Van Der Sluis, 2006.
"Return-based style analysis with time-varying exposures,"
The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 529-552.
- Laurens Swinkels, Pieter Jelle VanDerSluis, 2001. "Return-based Style Analysis with Time-varying Exposures," Computing in Economics and Finance 2001 125, Society for Computational Economics.
- Swinkels, L.A.P. & van der Sluis, P.J., 2001. "Return-Based Style Analysis with Time-Varying Exposures," Other publications TiSEM f2c16530-4d18-4f43-bb6d-f, Tilburg University, School of Economics and Management.
- Swinkels, L.A.P. & van der Sluis, P.J., 2001. "Return-Based Style Analysis with Time-Varying Exposures," Discussion Paper 2001-96, Tilburg University, Center for Economic Research.
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"Evaluating style analysis,"
Journal of Empirical Finance, Elsevier, vol. 11(1), pages 29-53, January.
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Cited by:
- Adrian Pizzinga, 2010. "Constrained Kalman Filtering: Additional Results," International Statistical Review, International Statistical Institute, vol. 78(2), pages 189-208, August.
- Pizzinga, Adrian, 2009. "Further investigation into restricted Kalman filtering," Statistics & Probability Letters, Elsevier, vol. 79(2), pages 264-269, January.
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