Narrow search
Showing 1 - 10 of 366,621
Cover Image
Regime-switching in the volatility of Mexican pension fund returns
López Herrera, Francisco; Martínez Preece, Marissa … - In: Economic challenges of pension systems : a …, (pp. 397-425). 2020
span. This chapter analyzes the conditional volatility of SIEFOREs' returns based on a model according to which GARCH …
Persistent link: https://www.econbiz.de/10012207455
Cover Image
Forecasting hedge fund volatility : a Markov regime-switching approach
Blazsek, Szabolcs; Downarowicz, Anna - In: The European journal of finance 19 (2013) 3/4, pp. 243-275
Persistent link: https://www.econbiz.de/10010243653
Cover Image
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
Cover Image
Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation
Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-23
(MRS-MNTS-GARCH) to accommodate fat tails, volatility clustering and regime switch. The volatility of each asset …
Persistent link: https://www.econbiz.de/10013273511
Cover Image
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Cover Image
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Cover Image
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
Cover Image
Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for … (Morgan Stanley Capital International) world index futures further improves the hedging effectiveness compared with the …
Persistent link: https://www.econbiz.de/10011883272
Cover Image
Hedge fund return higher moments over the business cycle
Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
Cover Image
Regime-switching angular correlation diversification
Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014234140