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

DOI10.1016/J.JECONOM.2019.07.002MaRDI QIDQ2280583zbMATHOpenAlexWikidataFDO

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

GARCHportfolio optimizationvalue-at-riskMarkov switchingmultivariate generalized hyperbolic distribution

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

• scientific article; zbMATH DE number 5984103 (Why is no real title available?)
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• Regime switching for dynamic correlations
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• Two Stage and Related Estimators and Their Applications
• Variance clustering improved dynamic conditional correlation MGARCH estimators

Cited in

(5)

• Regime switching for dynamic correlations
• Dynamic currency hedging with non-Gaussianity and ambiguity
• 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

Describes a project that uses

Uses Software

• QRM

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