Pages that link to "Item:Q1027430"

The following pages link to Asset allocation under multivariate regime switching (Q1027430):

Displaying 40 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)
• 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)
• 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)
• 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)
• 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)
• 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)
• Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model (Q3004474) (← links)
• Time-Varying Risk Aversion and Dynamic Portfolio Allocation (Q5030998) (← links)
• Asset allocation under threshold autoregressive models (Q5414497) (← links)
• Moments, shocks and spillovers in Markov-switching VAR models (Q6054391) (← links)
• Predicting stock realized variance based on an asymmetric robust regression approach (Q6066261) (← links)