Strategic asset allocation with switching dependence
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 8 (2012)
Issue (Month): 1 (February)
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Web page: http://www.springerlink.com/link.asp?id=112370
Copula; Switching regime; C5;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- CHOLLETE, Loran & HEINEN, Andréas & VALDESOGO, Alfonso, 2008.
"Modeling international financial returns with a multivariate regime switching copula,"
CORE Discussion Papers
2008013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Chollete, Loran & Heinen, Andreas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," MPRA Paper 8114, University Library of Munich, Germany.
- Loran , CHOLLETTE & Andreas , HEINEN & Alfonso , VALDESOGO, 2008. "Modelling international financial returns with a multivariate regime switching copula," Discussion Papers (ECON - DÃ©partement des Sciences Economiques) 2008011, Université catholique de Louvain, Département des Sciences Economiques.
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"International asset allocation under regime switching, skew and kurtosis preferences,"
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"An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns,"
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- Okimoto, Tatsuyoshi, 2008. "New Evidence of Asymmetric Dependence Structures in International Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(03), pages 787-815, September.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- David A. Hennessy & Harvey E. Lapan, 2002. "The Use of Archimedean Copulas to Model Portfolio Allocations," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 143-154.
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"Regime Switching for Dynamic Correlations,"
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- Laurent E. Calvet, 2004. "How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 49-83.
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