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Market timing under multiple economic regimes

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

CollectionsANU Research Publications
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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