Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†

DOI10.1080/14697688.2022.2114930zbMath1518.91266OpenAlexW4296127067MaRDI QIDQ6158386

Tetsuo Kurosaki, Unnamed Author

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2114930

zbMATH Keywords

regime-switching modelsnon-normalityoptimal asset allocationDCC modelsdynamic conditional score models

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• A component model for dynamic correlations
• TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
• Portfolio selection with commodities under conditional copulas and skew preferences

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