Strategic asset allocation and Markov Regime Switch with GARCH
Year of publication: |
2013
|
---|---|
Authors: | Simi, Wei W. |
Published in: |
The journal of business and economic studies. - Newark, NJ : School of Management, New Jersey Institute of Technology, ISSN 1063-343X, ZDB-ID 1193519-4. - Vol. 19.2013, 1, p. 41-51
|
Subject: | asset allocation | volatility | regime switching | GARCH | portfolio optimization | Theorie | Theory | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Volatilität | Volatility | Markov-Kette | Markov chain | Schätzung | Estimation |
-
Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model
Lee, Chien-chiang, (2023)
-
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S., (2019)
-
Regime-switching angular correlation diversification
Lee, Hsiang-Tai, (2022)
- More ...
-
Time-changed Lévy jump processes with GARCH model on reverse convertibles
Simi, Wei W., (2013)
-
Time-changed Lévy jump processes with GARCH model on reverse convertibles
Simi, Wei W., (2013)
-
Money managers' interactions and Bayesian model
Simi, Wei W., (2020)
- More ...