Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations

Artikel › Journalartikel › 2020

Zitation

Erlwein-Sayer, Christina; Grimm, Stefanie; Ruckdeschel, Peter; Sass, Jörn; Sayer, Tilman: Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations. In: Applied Stochastic Models in Business and Industry 36, 3. (2020), S. 307-334.

ISSN

1526-4025

Link

https://doi.org/10.1002/asmb.2491

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