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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