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Keywords: Gibbs sampling
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Journal Articles
Allocation to industry portfolios under Markov switching returns
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2013) 30 (4): 317–346.
Published: 30 September 2013
.../approach – This paper uses a Markov switching model to model returns on industry portfolios and propose a Gibbs sampling approach to take into account parameter uncertainty. This paper compares the results with a linear benchmark model and estimates without taking into account parameter uncertainty...
