Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns (Q2280583)
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scientific article; zbMATH DE number 7145339
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| English | Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns |
scientific article; zbMATH DE number 7145339 |
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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns (English)
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19 December 2019
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GARCH
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Markov switching
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multivariate generalized hyperbolic distribution
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portfolio optimization
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value-at-risk
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0.8640761375427246
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0.8014448881149292
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0.7718063592910767
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0.7689563632011414
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0.7566009163856506
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