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Strategic asset allocation and Markov Regime Switch with GARCH
Simi, Wei W. - In: The journal of business and economic studies 19 (2013) 1, pp. 41-51
Persistent link: https://www.econbiz.de/10009776452
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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458
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Characterizing dependence in financial series
Chollete, Lorán - 2004
Persistent link: https://www.econbiz.de/10003549398
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Moments of multivariate regime switching with application to risk-return trade-off
Taamouti, Abderrahim - In: Journal of empirical finance 19 (2012) 2, pp. 292-308
Persistent link: https://www.econbiz.de/10009615702
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Extreme downside risk and financial crises
Harris, Richard D. F.; Nguyen, Linh H.; Stoja, Evarist - 2015
Persistent link: https://www.econbiz.de/10011402719
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Portfolio optimization under partial information: stochastic volatility in a hidden Markov model
Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004
Persistent link: https://www.econbiz.de/10002072557
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Volatility dynamics under duration-dependent mixing
Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
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A three-tiered nested analytical approach to financial integration : the case of emerging and frontier equity markets
Cagliesi, Gabriella; Guidi, Francesco - In: International review of financial analysis 74 (2021), pp. 1-29
Persistent link: https://www.econbiz.de/10012803928
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On Fund Mapping Regressions Applied to Segregated Funds Hedging Schemes under Regime-Switching Dynamics
Trottier, Denis-Alexandre - 2018
Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in such policies. A typical industry practice consists in using fund mapping regressions to represent basis risk stemming from the imperfect correlation between the underlying fund...
Persistent link: https://www.econbiz.de/10012922821
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Dynamic commodity portfolio management : a regime-switching VAR model
Singhal, Shelly; Biswal, Pratap Chandra - In: Global business review 22 (2021) 2, pp. 532-549
Persistent link: https://www.econbiz.de/10012520247