Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation
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DOI: 10.1057/jam.2016.12
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- Arjun Prakash & Nick James & Max Menzies & Gilad Francis, 2020. "Structural clustering of volatility regimes for dynamic trading strategies," Papers 2004.09963, arXiv.org, revised Nov 2021.
- David Hallac & Peter Nystrup & Stephen Boyd, 2019. "Greedy Gaussian segmentation of multivariate time series," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 13(3), pages 727-751, September.
- Yizhan Shu & Chenyu Yu & John M. Mulvey, 2024. "Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach," Papers 2402.05272, arXiv.org, revised Sep 2024.
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