16-099/III - Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies

• Authors
  Nalan Basturk, Maastricht University, The Netherlands; Stefano Grassi, University of Kent, United Kingdom; Lennart Hoogerheide, VU University Amsterdam, The Netherlands; Herman K. van Dijk, Erasmus University Rotterdam, The Netherlands
• Publication date
  November 17, 2016

• Keywords
  Nonlinear, non-gaussian state space, filters, density combinations, bayesian modeling, equity momentum
• JEL
  C11, C15, G11, G17