Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns (Q2280583)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns |
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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns (English)
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19 December 2019
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GARCH
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Markov switching
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multivariate generalized hyperbolic distribution
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portfolio optimization
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value-at-risk
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