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Strategic asset allocation with switching dependence

  • Donatien Hainaut

    ()

  • Renaud MacGilchrist

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10436-011-0183-9
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    Article provided by Springer in its journal Annals of Finance.

    Volume (Year): 8 (2012)
    Issue (Month): 1 (February)
    Pages: 75-96

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    Handle: RePEc:kap:annfin:v:8:y:2012:i:1:p:75-96
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=112370

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    1. Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis.
    2. Loran , CHOLLETTE & Andreas , HEINEN & Alfonso , VALDESOGO, 2008. "Modelling international financial returns with a multivariate regime switching copula," Discussion Papers (ECON - Département des Sciences Economiques) 2008011, Université catholique de Louvain, Département des Sciences Economiques.
    3. 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.
    4. 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.
    5. Allan Timmermann & Massimo Guidolin, 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.
    6. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
    7. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
    8. 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.
    9. 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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