Asset allocation using flexible dynamic correlation models with regime switching
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DOI: 10.1080/14697680902856515
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- E. Otranto, 2008. "Asset Allocation Using Flexible Dynamic Correlation Models with Regime Switching," Working Paper CRENoS 200810, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
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Cited by:
- Cipollini, Fabrizio & Gallo, Giampiero M. & Otranto, Edoardo, 2021.
"Realized volatility forecasting: Robustness to measurement errors,"
International Journal of Forecasting, Elsevier, vol. 37(1), pages 44-57.
- Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto, 2019. "Realized Volatility Forecasting: Robustness to Measurement Errors," Econometrics Working Papers Archive 2019_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gad, Samar & Andrikopoulos, Panagiotis, 2019. "Diversification benefits of Shari'ah compliant equity ETFs in emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 133-144.
- Ha, Youngmin & Zhang, Hai, 2020. "Algorithmic trading for online portfolio selection under limited market liquidity," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1033-1051.
- Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
- Haas Markus & Liu Ji-Chun, 2018. "A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(3), pages 1-27, June.
- Guobin Fan & Yong Zeng, 2012. "The Timing Of Portfolio Adjustments: A Regime-Switching Approach," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 11(05), pages 909-933.
- Fereydooni, Ali & Barak, Sasan & Asaad Sajadi, Seyed Mehrzad, 2024. "A novel online portfolio selection approach based on pattern matching and ESG factors," Omega, Elsevier, vol. 123(C).
- E. Otranto, 2015. "Adding Flexibility to Markov Switching Models," Working Paper CRENoS 201509, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Abdul Aziz, Nor Syahilla & Vrontos, Spyridon & M. Hasim, Haslifah, 2019. "Evaluation of multivariate GARCH models in an optimal asset allocation framework," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 568-596.
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Keywords
Markov chain; Multivariate GARCH; Portfolio performance; Switching parameters; Volatility;All these keywords.
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