Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective PoorSatisfactoryGoodVery GoodExcellent Be the first. (0 ratings) Log in to rate this article. CFA Digest August 2012 | Vol. 42 | No. 3 Source: CFA InstituteMassimo Guidolin Stuart HydeButt Man-Kit, CFA (Reviewer) Abstract The simple vector autoregressive (VAR) model is often believed to produce optimal strategic portfolio allocations that hedge against the dynamics of financial markets. The authors examine empirical U.S. and U.K. data from 1953 to 2009 and find that most VAR models cannot produce portfolio rules or hedging demands that equate to those obtained from equally simple, nonlinear econometric frameworks, such as Markov switching. View more information Topics Economics : Relationship of Economic Activity to the Investment Process | Quantitative Methods : Time-Series Analysis Credits · About the CE Program 0 CE (including 0 SER) Record credits Credits recorded Members, log in to record your credits. Manage CE Credits People who viewed this page also viewed: Advanced Risk and Portfolio Management Bootcamp - ARPM Bootcamp The six-day course provides in-depth understanding of buy-side quantitative modeling from the foundations to the most advanced statistical ... More Loading ...