Strategic asset allocation with switching dependence
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- Laurent E. Calvet, 2004.
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- CHOLLETE, Loran & HEINEN, AndrÃ©as & 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).
- Chollete, Lorán & Heinen, Andréas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," Discussion Papers 2008/3, Department of Business and Management Science, Norwegian School of Economics.
- 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.
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- Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
- Massimo Guidolin & Allan Timmerman, 2005.
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- 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.
- 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.
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- Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
- 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.
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