Market timing under multiple economic regimes

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dc.contributor.authorGuido, Ron
dc.contributor.authorPearl, Joshua
dc.contributor.authorWalsh, Kathleen
dc.date.accessioned2015-12-10T23:33:18Z
dc.date.issued2011
dc.date.updated2016-02-24T08:20:17Z
dc.description.abstractThis 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
dc.identifier.issn0810-5391
dc.identifier.urihttp://hdl.handle.net/1885/69220
dc.publisherBlackwell Publishing Ltd
dc.sourceAccounting and Finance
dc.subjectKeywords: Asset allocation; Equity markets; G11; G12; Regime switching
dc.titleMarket timing under multiple economic regimes
dc.typeJournal article
local.bibliographicCitation.issue2
local.bibliographicCitation.lastpage515
local.bibliographicCitation.startpage501
local.contributor.affiliationGuido, Ron, Fidelity Investment Managers
local.contributor.affiliationPearl, Joshua, Credit Suisse Equities (Australia) Ltd
local.contributor.affiliationWalsh, Kathleen, College of Business and Economics, ANU
local.contributor.authoruidWalsh, Kathleen, u4955047
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor140202 - Economic Development and Growth
local.identifier.ariespublicationf2965xPUB1959
local.identifier.citationvolume51
local.identifier.doi10.1111/j.1467-629X.2010.00389.x
local.identifier.scopusID2-s2.0-79955596969
local.identifier.thomsonID000290178600006
local.type.statusPublished Version

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