Return-Based Style Analysis with Time-Varying Exposures

Laurens Swinkels and Pieter van der Sluis

No 2001-96, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: kalman filter; investment trusts; investment analysis (search for similar items in EconPapers)
Date: 2001
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Journal Article: Return-based style analysis with time-varying exposures (2006)
Working Paper: Return-based Style Analysis with Time-varying Exposures (2001)
Working Paper: Return-Based Style Analysis with Time-Varying Exposures (2001)
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