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【作者(必填)】A Antoniou, EC Galariotis…

【文题(必填)】
The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach

【年份(必填)】2006

【全文链接或数据库名称(选填)】

The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approachA Antoniou, EC Galariotis… - Applied Financial …, 2006 - Taylor & Francis
... Web of Science ®] View all references) also document highly non-normal distributional
characteristics coupled with time-varying skewness and kurtosis for ... In applying space state models
one could specify a simple market model modified by using time-varying parameters: ...
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