The Number of Regimes Across Asset Returns: Identification and Economic Value
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- Mathieu Gatumel & Florian Ielpo, 2014. "The Number Of Regimes Across Asset Returns: Identification And Economic Value," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(06), pages 1-25.
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Keywords
Bull and bear markets; Markov switching models; Number of regimes; Density based tests;All these keywords.
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