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Strategic asset allocation with switching dependence

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  • Donatien Hainaut
  • Renaud MacGilchrist

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  • Donatien Hainaut & Renaud MacGilchrist, 2012. "Strategic asset allocation with switching dependence," Annals of Finance, Springer, vol. 8(1), pages 75-96, February.
    • Handle: RePEc:kap:annfin:v:8:y:2012:i:1:p:75-96
    DOI: 10.1007/s10436-011-0183-9
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    References listed on IDEAS

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    1. Lorán Chollete & Andréas Heinen & Alfonso Valdesogo, 2009. "Modeling International Financial Returns with a Multivariate Regime-switching Copula," Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 437-480, Fall.
    2. 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, April.
    3. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
    4. Massimo Guidolin & Allan Timmermann, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 1-22, January.
    5. 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 357-384, March.
    6. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
    7. Okimoto, Tatsuyoshi, 2008. "New Evidence of Asymmetric Dependence Structures in International Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(3), pages 787-815, September.
    8. Laurent E. Calvet, 2004. "How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 49-83.
    9. Yannick Malevergne & Didier Sornette, 2006. "Extreme Financial Risks : From Dependence to Risk Management," Post-Print hal-02298069, HAL.
    10. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
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    Citations

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    Cited by:

    1. Donatien Hainaut & Griselda Deelstra, 2019. "A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for Asset Prices," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1337-1375, December.
    2. Donatien Hainaut & Yang Shen & Yan Zeng, 2018. "How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?," Annals of Operations Research, Springer, vol. 262(2), pages 519-545, March.
    3. Hainaut, Donatien, 2014. "Impulse control of pension fund contributions, in a regime switching economy," European Journal of Operational Research, Elsevier, vol. 239(3), pages 810-819.
    4. Hainaut, Donatien & Deelstra, Griselda, 2018. "A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for asset prices," LIDAM Discussion Papers ISBA 2018011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Donatien Hainaut & Yan Shen & Yan Zeng, 2016. "How do capital structure and economic regime affect fair prices of bank's equity and liabilities?," Post-Print hal-01394133, HAL.
    6. Donatien Hainaut & Franck Moraux, 2019. "A switching self-exciting jump diffusion process for stock prices," Annals of Finance, Springer, vol. 15(2), pages 267-306, June.
    7. Hainaut, Donatien & Goutte, Stephane, 2018. "A switching microstructure model for stock prices," LIDAM Discussion Papers ISBA 2018014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.

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    More about this item

    Keywords

    Copula; Switching regime; C5;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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