Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Marc S. Paolella, Paweł Polak, Patrick S. Walker
| Year of publication: |
2019
|
|---|---|
| Authors: | Paolella, Marc S. ; Polak, Pawel ; Walker, Patrick S. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 213.2019, 2, p. 493-515
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| Subject: | GARCH | Markov switching | Multivariate generalized hyperbolic distribution | Portfolio optimization | Value-at-risk | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Schätzung | Estimation | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Kapitaleinkommen | Capital income | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.07.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012304579