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A generalized entropy approach to portfolio selection under a hidden markov model
MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25
This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk...
Persistent link: https://www.econbiz.de/10013375264
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Speculative bubbles in present-value models : A Bayesian Markov-switching state space approach
Chan, Joshua; Santi, Caterina - In: Journal of economic dynamics & control 127 (2021), pp. 1-26
Persistent link: https://www.econbiz.de/10012668503
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Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.; Embrechts, Paul; Sardy, S. - In: Journal of econometrics 181 (2014) 1, pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
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Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture
Huang, Jing-Zhi; Xu, Li - In: The quarterly journal of finance 4 (2014) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10010473521
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Estimating (Markov-Switching) VAR models without gibbs sampling : a sequential Monte Carlo approach
Bognanni, Mark; Herbst, Edward P. - 2014
Persistent link: https://www.econbiz.de/10010497164
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Allocation to industry portfolios under Markov switching returns
Tudor, Deniz Kebabci - In: Studies in economics and finance 30 (2013) 4, pp. 317-346
Persistent link: https://www.econbiz.de/10010207358
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Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina - In: Journal of econometrics 232 (2023) 2, pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
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How regional business cycles diffuse across space and time : evidence from a Bayesian Markov switching panel of GDP and unemployment in Poland
Rabiej, Agnieszka; Sikora, Dominika; Torój, Andrzej - 2023
Persistent link: https://www.econbiz.de/10014305142
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Random and Markov switching exponential smoothing models
Tsionas, Mike G. - In: Technological forecasting & social change : an … 174 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013205414
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Do monetary policy shocks generate TAR or STAR dynamics in output?
Donayre, Luiggi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 2, pp. 227-247
Persistent link: https://www.econbiz.de/10011313585