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Regime Switching Model, Time Varying Transition Probabilities
the fundamental law of active management, information coefficient, information ratio, transfer coefficient, time series, cross section
information coefficient (IC), asymptotic distribution, information ratio, the fundamental law of active management
the fundamental law of active management, information coefficient, information ratio, factor model, time series, cross section
GARCH, Volatility Modeling, Long Memory, two-component GARCH model
turnover, leverage, factor model, conditional mean forecast, conditional forecast error covariance matrix, transfer coefficient, fundamental law of active management
multi-horizon mean and covariance matrix, serial correlation, time aggregation, asset allocation
