Asset allocation using flexible dynamic correlation models with regime switching (Q3557573)
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scientific article; zbMATH DE number 5700392
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| English | Asset allocation using flexible dynamic correlation models with regime switching |
scientific article; zbMATH DE number 5700392 |
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Asset allocation using flexible dynamic correlation models with regime switching (English)
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23 April 2010
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Markov chain
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multivariate GARCH
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portfolio performance
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switching parameters
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volatility
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0.8014448881149292
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0.7996697425842285
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0.783348798751831
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0.765623927116394
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0.7620906233787537
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