Pages that link to "Item:Q292034"

The following pages link to Regime switching for dynamic correlations (Q292034):

Displaying 45 items.

• The Wishart autoregressive process of multivariate stochastic volatility (Q302185) (← links)
• Asymmetric conditional correlations in stock returns (Q312957) (← links)
• Modeling dependence dynamics through copulas with regime switching (Q414597) (← links)
• Analysing financial contagion and asymmetric market dependence with volatility indices via copulas (Q470423) (← links)
• Strategic asset allocation with switching dependence (Q470426) (← links)
• Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach (Q492638) (← links)
• Semi- and nonparametric ARCH processes (Q609736) (← links)
• Efficient estimation of a multivariate multiplicative volatility model (Q736688) (← links)
• High dimensional dynamic stochastic copula models (Q888326) (← links)
• Estimating VAR-MGARCH models in multiple steps (Q905385) (← links)
• The impact of general non-parametric volatility functions in multivariate GARCH models (Q959389) (← links)
• Multivariate mixed normal conditional heteroskedasticity (Q1019987) (← links)
• Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options (Q1023678) (← links)
• Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model (Q1037795) (← links)
• Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks (Q1623507) (← links)
• Regime switches in the dependence structure of multidimensional financial data (Q1623563) (← links)
• Robust optimization of mixed CVaR STARR ratio using copulas (Q1631418) (← links)
• Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
• Nonlinearities and regimes in conditional correlations with different dynamics (Q2190236) (← links)
• Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns (Q2280583) (← links)
• COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
• Contagion and global financial crises: lessons from nine crisis episodes (Q2416080) (← links)
• Identifying financial time series with similar dynamic conditional correlation (Q2445570) (← links)
• Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion (Q2445700) (← links)
• Sequential monitoring of minimum variance portfolio (Q2461273) (← links)
• Portfolio optimization when asset returns have the Gaussian mixture distribution (Q2464229) (← links)
• Portfolio selection in a two-regime world (Q2630104) (← links)
• Modeling covariance breakdowns in multivariate GARCH (Q2630346) (← links)
• A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns (Q2691761) (← links)
• A regime switching skew-normal model of contagion (Q2697018) (← links)
• A Multivariate Threshold Varying Conditional Correlations Model (Q3404109) (← links)
• HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE (Q3453247) (← links)
• Portfolio Selection with Common Correlation Mixture Models (Q3606095) (← links)
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components (Q3631467) (← links)
• The shifting dependence dynamics between the G7 stock markets (Q4554463) (← links)
• A stochastic recurrence equations approach for score driven correlation models (Q5034245) (← links)
• A Survey on Time-Varying Copulas: Specification, Simulations, and Application (Q5080162) (← links)
• Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (Q5080532) (← links)
• A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks (Q5080547) (← links)
• On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models (Q5106718) (← links)
• Adding flexibility to Markov Switching models (Q5142162) (← links)
• ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS (Q5349009) (← links)
• Value-at-risk in a market subject to regime switching (Q5440101) (← links)
• Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation (Q5860951) (← links)
• A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model (Q5864639) (← links)