BERNHART, GERMAN; HÖCHT, STEPHAN; NEUGEBAUER, MICHAEL; … - In: Asia-Pacific Journal of Operational Research (APJOR) 28 (2011) 01, pp. 1-23
In this article, the dependence structure of the asset classes stocks, government bonds, and corporate bonds in different market environments and its implications on asset management are investigated for the US, European, and Asian market. Asset returns are modelled by a Markov-switching model...