Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations
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DOI: 10.1016/j.rfe.2012.08.001
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- Patrick Konermann & Christoph Meinerding & Olga Sedova, 2013. "Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations," Review of Financial Economics, John Wiley & Sons, vol. 22(1), pages 36-46, January.
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Sofiane Aboura & Julien Chevallier, 2014.
"Cross‐market spillovers with ‘volatility surprise’,"
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- Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris Nanterre, EconomiX.
- Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Working Papers halshs-01052488, HAL.
- Dungey, Mardi & Flavin, Thomas J. & Lagoa-Varela, Dolores, 2020.
"Are banking shocks contagious? Evidence from the eurozone,"
Journal of Banking & Finance, Elsevier, vol. 112(C).
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More about this item
Keywords
Asset allocation; Portfolio choice; Contagion; Systemic risk; Regime switching;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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