Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model
Chien-Chiang Lee, Hsiang-Tai Lee
| Year of publication: |
2023
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|---|---|
| Authors: | Lee, Chien-Chiang ; Lee, Hsiang-Tai |
| Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 1117243-5. - Vol. 55.2023, p. 1-16
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| Subject: | GARCH | Multiple state variables | Regime switching | Time-varying correlation | Volatility spillover | ARCH-Modell | ARCH model | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Korrelation | Correlation | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.gfj.2023.100808 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014248631