Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model
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DOI: 10.1016/j.eswa.2021.115576
Note: View the original document on HAL open archive server: https://hal.science/hal-03313129v1
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References listed on IDEAS
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More about this item
Keywords
Hidden Markov model; Financial time series; Non-stationarity; Regime Switching; Prediction markets; Trading strategies;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2022-09-19 (Risk Management)
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