Downside risk reduction using regime-switching signals : a statistical jump model approach
Yizhan Shu, Chenyu Yu, John M. Mulvey
| Year of publication: |
2024
|
|---|---|
| Authors: | Shu, Yizhan ; Yu, Chenyu ; Mulvey, John M. |
| Published in: |
Journal of asset management : a major new, international quarterly journal for the financial community. - London [u.a.] : Henry Stewart Publ., ISSN 1479-179X, ZDB-ID 2039445-7. - Vol. 25.2024, 5, p. 493-507
|
| Subject: | Regime switching | Clustering | Investment risk | Market timing | Bear markets | Statistical jump models | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Theorie | Theory | Investitionsrisiko | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41260-024-00376-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015192325