Asset allocation using flexible dynamic correlation models with regime switching (Q3557573)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asset allocation using flexible dynamic correlation models with regime switching |
scientific article |
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Asset allocation using flexible dynamic correlation models with regime switching (English)
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23 April 2010
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Markov chain
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multivariate GARCH
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portfolio performance
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switching parameters
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volatility
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