Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns

DOI10.1016/J.JECONOM.2019.07.002MaRDI QIDQ2280583zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

GARCHMarkov switchingmultivariate generalized hyperbolic distributionportfolio optimizationvalue-at-risk

Mathematics Subject Classification ID

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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Cites work

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• Intermediate Probability
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• Two Stage and Related Estimators and Their Applications
• Variance clustering improved dynamic conditional correlation MGARCH estimators

Cited in

(7)

• Regime switching for dynamic correlations
• The number of regimes across asset returns: identification and economic value
• Asset allocation using flexible dynamic correlation models with regime switching
• Multi-asset portfolio returns: a Markov switching copula-based approach
• Dynamic currency hedging with non-Gaussianity and ambiguity
• Predictive distributions and the market return: the role of market illiquidity
• Risk parity portfolio optimization under heavy-tailed returns and dynamic correlations

Describes a project that uses

Uses Software

• QRM

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