Market timing under multiple economic regimes
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Guido, Ron; Pearl, Joshua; Walsh, Kathleen
Description
This article models the US equity premium as a regime-switching process where the regimes are dependent on economic variables. To characterise the economic regimes, we employ the dimension reduction technique of a principal components analysis to extract
Collections | ANU Research Publications |
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Date published: | 2011 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/69220 |
Source: | Accounting and Finance |
DOI: | 10.1111/j.1467-629X.2010.00389.x |
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01_Guido_Market_timing_under_multiple_2011.pdf | 282.07 kB | Adobe PDF | Request a copy |
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