Asset allocation using flexible dynamic correlation models with regime switching

DOI10.1080/14697680902856515zbMath1202.91353OpenAlexW2030136309MaRDI QIDQ3557573

Edoardo Otranto

Publication date: 23 April 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902856515

zbMATH Keywords

Markov chainvolatilitymultivariate GARCHportfolio performanceswitching parameters

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (5)

Algorithmic trading for online portfolio selection under limited market liquidity ⋮ A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns ⋮ Identifying financial time series with similar dynamic conditional correlation ⋮ Adding flexibility to Markov Switching models ⋮ Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation

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