Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
DOI10.1016/J.JECONOM.2019.07.002zbMATH Open1456.62254OpenAlexW2969562921WikidataQ127353364 ScholiaQ127353364MaRDI QIDQ2280583FDOQ2280583
Authors: Marc S. Paolella, Paweł Polak, Patrick S. Walker 
Publication date: 19 December 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.07.002
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GARCHportfolio optimizationvalue-at-riskMarkov switchingmultivariate generalized hyperbolic distribution
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (5)
- Asset allocation using flexible dynamic correlation models with regime switching
- Regime switching for dynamic correlations
- The number of regimes across asset returns: identification and economic value
- Multi-asset portfolio returns: a Markov switching copula-based approach
- Dynamic currency hedging with non-Gaussianity and ambiguity
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