Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective | Department of Finance

Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective

Seminars

04 December 2009

12:30pm - 2:00pm

Room N20, Velodromo

Massiomo Guidolin (Manchester Business School & St. Louis FED)