Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns

DOI10.1016/j.jeconom.2019.07.002zbMath1456.62254OpenAlexW2969562921WikidataQ127353364 ScholiaQ127353364MaRDI QIDQ2280583

Marc S. Paolella, Patrick S. Walker, Paweł Polak

Publication date: 19 December 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.07.002

zbMATH Keywords

GARCHportfolio optimizationvalue-at-riskMarkov switchingmultivariate generalized hyperbolic distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Uses Software

• QRM

Cites Work

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