Return-based Style Analysis with Time-varying Exposures
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- Laurens Swinkels & Pieter Van Der Sluis, 2006. "Return-based style analysis with time-varying exposures," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 529-552.
- Swinkels, L.A.P. & van der Sluis, P.J., 2001. "Return-Based Style Analysis with Time-Varying Exposures," Discussion Paper 2001-96, Tilburg University, Center for Economic Research.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kathryn Holmes & Robert Faff, 2008. "Style analysis, customized benchmarks, and managed funds: new evidence," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(4), pages 253-258.
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More about this item
KeywordsKalman Filter; Mutual Funds; Style Analysis;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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