Market timing under multiple economic regimes

Guido, Ron; Pearl, Joshua; Walsh, Kathleen

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Market timing under multiple economic regimes

Date

2011

Authors

Guido, Ron

Pearl, Joshua

Walsh, Kathleen

Publisher

Blackwell Publishing Ltd

Abstract

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

URI

http://hdl.handle.net/1885/69220

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Open Access Research

Source

Accounting and Finance

Type

Journal article

DOI

10.1111/j.1467-629X.2010.00389.x

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2037-12-31

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01_Guido_Market_timing_under_multiple_2011.pdf (282.07 KB)

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Cultural advice

Market timing under multiple economic regimes

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