Asset allocation using flexible dynamic correlation models with regime switching

DOI10.1080/14697680902856515MaRDI QIDQ3557573zbMATH OpenOpenAlexFDO

Authors Edoardo Otranto

Publication date 23 April 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680902856515

zbMATH Keywords

Markov chainvolatilitymultivariate GARCHportfolio performanceswitching parameters

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(14)

• An adaptive regime-switching regression model for hedge funds
• Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
• Regime switching for dynamic correlations
• Strategic asset allocation with switching dependence
• Identifying financial time series with similar dynamic conditional correlation
• Asset allocation under multivariate regime switching
• Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
• Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
• Dynamic investment strategy with factor models under regime switches
• A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
• Algorithmic trading for online portfolio selection under limited market liquidity
• Adding flexibility to Markov Switching models
• Multi-asset portfolio returns: a Markov switching copula-based approach
• Dynamic asset allocation for varied financial markets under regime switching framework

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