Portfolio rebalancing in times of stress
Year of publication: |
2021
|
---|---|
Authors: | Fischer, Andreas M. ; Greminger, Rafael P. ; Grisse, Christian ; Kaufmann, Sylvia |
Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 113.2021, p. 1-24
|
Subject: | Portfolio rebalancing | Equity flows | Exchange rates | Financial stress | Structural VAR | Sign restrictions | Regime switching | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model | Schock | Shock | Portfolio-Investition | Foreign portfolio investment | Währungsrisiko | Exchange rate risk | Wechselkurs | Exchange rate | Schätzung | Estimation | Kapitalmobilität | Capital mobility | Volatilität | Volatility | Geldpolitik | Monetary policy |
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