Search Results - subject:"Regime-switching EGARCH"

Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market

Chang, Kuang-Liang - In: Energy Economics 34 (2012) 1, pp. 294-306

This study employs a flexible regime-switching EGARCH model with Student-t distributed error terms to investigate …

Persistent link: https://www.econbiz.de/10010868713

Volatility regimes, asymmetric basis effects and forecasting performance : an empirical investigation of the WTI crude oil futures market

Chang, Kuang-liang - In: Energy economics 34 (2012) 1, pp. 294-306

Persistent link: https://www.econbiz.de/10009618842

Performance evaluation of optimized portfolio insurance strategies

Zieling, Daniel; Mahayni, Antje; Balder, Sven - In: Journal of Banking & Finance 43 (2014) C, pp. 212-225

We use S&P 500 index return data for the time period 1985–2013 to evaluate the performance of portfolio insurance strategies. We shed light on the question if the performance of a constant proportion portfolio insurance (CPPI) strategy can be improved by means of a time-varying multiplier...

Persistent link: https://www.econbiz.de/10010777132

Performance evaluation of optimized portfolio insurance strategies

Zieling, Daniel; Mahayni, Antje; Balder, Sven - In: Journal of banking & finance 43 (2014), pp. 212-225

Persistent link: https://www.econbiz.de/10010410003