Detecting change points in VIX and S&P 500 : a new approach to dynamic asset allocation
Peter Nystrup, Bo William Hansen, Henrik Madsen, Erik Lindstöm
| Year of publication: |
September 2016
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|---|---|
| Authors: | Nystrup, Peter ; Hansen, Bo William ; Madsen, Henrik ; Lindström, Erik |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 17.2016, 5, p. 361-374
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| Subject: | regime changes | change point detection | dynamic asset allocation | volatility regimes | daily returns | non-parametric statistics | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Dynamische Wirtschaftstheorie | Economic dynamics | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/jam.2016.12 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011634685