This paper investigates the time-varying behavior of systematic risk for eighteen pan-European sectors. Using weekly data over the period 1987- 2005, four different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t-GARCH(1,1) model, two Kalman...

This paper proposes a straightforward Markov-switching asset allocation model, which reduces the market exposure to periods of high volatility. The main purpose of the study is to examine the performance of a regime-based asset allocation strategy under realistic assumptions, compared to a buy...

This paper investigates the time-varying behavior of systematic risk for 18 pan-European sectors. Using weekly data over the period 1987-2005, six different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t-GARCH(1,1) model, two Kalman filter...

This paper investigates the time-varying behavior of systematic risk for eighteen pan-European industry portfolios. Using weekly data over the period 1987-2005, three different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t- GARCH(1,1)...

Ziel der vorliegenden Arbeit ist eine empirische Analyse des Zusammenhangs zwischen Bond-Credit Spreads und Ratings. Anhand US- amerikanischer Unternehmensanleihen soll untersucht werden, welche Zusammenhänge an den Maerkten zu beobachten sind, welchen Veränderungen diese im Zeitablauf...

Hidden Markov models have been applied in many different fields, including econometrics and finance. However, the lion's share of the investigated models concerns Markovian mixtures of Gaussian distributions. We present an extension to conditional t-distributions, including models with unequal...

Hidden Markov models have been applied in many different fields during the last decades, including econometrics and finance. However, the lion’s share of the investigated models is Markovian mixtures of Gaussian distributions. We present an extension to conditional t-distributions, including...

The lion’s share of hidden Markov models (HMMs) /Markov regime switching models considered in economic research incorporates a comparably small number of states. The popularity of models with mostly two or three states principally results from their good interpretability: often regime...