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Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

Persistent link: https://www.econbiz.de/10011780610

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

Modeling the dependence of conditional correlations on market volatility

Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268

Persistent link: https://www.econbiz.de/10011691329

Regime-switching angular correlation diversification

Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014234140

Not all bull and bear markets are alike : insights from a five-state hidden semi-Markov model

Zakamulin, Valeriy - In: Risk management : an international journal 25 (2023) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10013490816

Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach

Li, Leon; Miu, Peter - In: Journal of empirical finance 70 (2023), pp. 367-385

Persistent link: https://www.econbiz.de/10014423734

A portfolio insurance strategy for volatility index (VIX) futures

Jung, Young Cheol - In: The quarterly review of economics and finance : journal … 60 (2016), pp. 189-200

Persistent link: https://www.econbiz.de/10011627439

Portfolio optimization under partial information and convex constraints in a hidden Markov model

Sass, Jörn - In: Operations research proceedings 2005 : selected papers …, (pp. 223-228). 2006

Persistent link: https://www.econbiz.de/10003347537

Linear predictability vs. bull and bear market models in strategic asset allocation decisions : evidence from UK data

Guidolin, Massimo; Hyde, Stuart - 2012

Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...

Persistent link: https://www.econbiz.de/10009658243

Modelling asset prices for algorithmic and high-frequency trading

Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547

Persistent link: https://www.econbiz.de/10010235563

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