Asset allocation using flexible dynamic correlation models with regime switching
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Publication:3557573
DOI10.1080/14697680902856515zbMATH Open1202.91353OpenAlexW2030136309MaRDI QIDQ3557573FDOQ3557573
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
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- 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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