Pages that link to "Item:Q1027430"
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The following pages link to Asset allocation under multivariate regime switching (Q1027430):
Displaying 50 items.
- Portfolio optimization in a regime-switching market with derivatives (Q297212) (← links)
- Impulse control of pension fund contributions, in a regime switching economy (Q297413) (← links)
- Testing conditional asymmetry: a residual-based approach (Q310968) (← links)
- Clustering financial time series: new insights from an extended hidden Markov model (Q319224) (← links)
- Dynamic allocations for currency futures under switching regimes signals (Q323115) (← links)
- Strategic asset allocation with switching dependence (Q470426) (← links)
- Dynamic portfolio choice under ambiguity and regime switching mean returns (Q631261) (← links)
- What is the impact of stock market contagion on an investor's portfolio choice? (Q659101) (← links)
- Completion time structures of stock price movements (Q665544) (← links)
- Likelihood-based scoring rules for comparing density forecasts in tails (Q737965) (← links)
- Predictability of stock returns and asset allocation under structural breaks (Q737993) (← links)
- Forecasting stock market volatility: a combination approach (Q782059) (← links)
- How do capital structure and economic regime affect fair prices of bank's equity and liabilities? (Q1615809) (← links)
- Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
- Reaching nirvana with a defaultable asset? (Q1693840) (← links)
- Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm (Q1695045) (← links)
- Cojumps and asset allocation in international equity markets (Q1734591) (← links)
- Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment (Q1927136) (← links)
- Portfolio selection in a data-rich environment (Q1994213) (← links)
- Partial information about contagion risk, self-exciting processes and portfolio optimization (Q1994368) (← links)
- A switching self-exciting jump diffusion process for stock prices (Q2000696) (← links)
- Dynamic investment strategy with factor models under regime switches (Q2013300) (← links)
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers (Q2015659) (← links)
- Structural pricing of CoCos and deposit insurance with regime switching and jumps (Q2036863) (← links)
- Forecasting price of financial market crash via a new nonlinear potential GARCH model (Q2068471) (← links)
- Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help? (Q2241123) (← links)
- Pricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-out (Q2246749) (← links)
- Multi-period portfolio selection with drawdown control (Q2288940) (← links)
- The effects of conventional and unconventional monetary policy on forecasting the yield curve (Q2291799) (← links)
- Monetary policy and risk-based asset allocation (Q2416230) (← links)
- A higher-order hidden Markov chain-modulated model for asset allocation (Q2434780) (← links)
- Sequential estimation of shape parameters in multivariate dynamic models (Q2453083) (← links)
- Dynamic asset allocation for varied financial markets under regime switching framework (Q2514717) (← links)
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (Q2630119) (← links)
- Factor investing for the long run (Q2661656) (← links)
- Forecasting US stock market returns: a Japanese candlestick approach (Q2661905) (← links)
- How do volatility regimes affect the pricing of quality and liquidity in the stock market? (Q2699596) (← links)
- A Mathematical Theory of Financial Bubbles (Q2847835) (← links)
- An examination of HMM-based investment strategies for asset allocation (Q2862422) (← links)
- Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment (Q2892981) (← links)
- The number of regimes across asset returns: identification and economic value (Q2929381) (← links)
- Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model (Q3004474) (← links)
- Is Regime Switching in Stock Returns Important in Portfolio Decisions? (Q3117302) (← links)
- Portfolio selection with higher moments (Q3568905) (← links)
- Asset Prices With Regime-Switching Variance Gamma Dynamics (Q3631201) (← links)
- Dynamic portfolio optimization across hidden market regimes (Q4554411) (← links)
- Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM (Q4562474) (← links)
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS (Q4584699) (← links)
- OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS (Q4686507) (← links)
- Dynamic portfolio optimization across hidden market regimes (Q4957232) (← links)
