Market timing under multiple economic regimes
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|
|Source:||Accounting and Finance|
|01_Guido_Market_timing_under_multiple_2011.pdf||282.07 kB||Adobe PDF||Request a copy|
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