The Economic Value of Distributional Timing
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- Luis García-Álvarez & Richard Luger, 2011. "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers wp2011_1103, CEMFI, revised Sep 2011.
- Campbell Harvey & John Liechty & Merrill Liechty & Peter Muller, 2010. "Portfolio selection with higher moments," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 469-485.
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KeywordsNon-normality; volatility timing; distributional timing; GARCH; portfolio allocation;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-20 (All new papers)
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