Dynamic Investment Strategy with Factor Models Under Regime Switches
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
http://link.springer.com/content/pdf/10.1007/s10690-015-9200-8.pdf
Reference21 articles.
1. Ang, A., & Bekaert, G. (2002). International asset allocation with regime shifts. Review of Financial Studies, 15, 1137–1187.
2. Ang, A., & Bekaert, G. (2004). How do regime shifts affect asset allocation? Financial Analysts Journal, 60(2), 86–99.
3. Ang, A., & Kristensen, D. (2012). Testing conditional factor models. Journal of Financial Economics, 106(1), 132–156.
4. Arshanapalli, B., Fabozzi, F., & Nelson, W. (2006). The value, size and momentum spread during distressed economic periods. Finance Research Letter, 3, 244–252.
5. Baum, L. E., & Petrie, T. (1966). Statistical inference for probabilistic functions of finite state Markov chains. The Annals of Mathematical Statistics, 37, 1554–1563.
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