Asset allocation under multivariate regime switching-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Asset allocation under multivariate regime switching

Published:2007-11 Issue:11 Volume:31 Page:3503-3544
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Guidolin Massimo,Timmermann Allan

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference41 articles.

1. Variable selection for portfolio choice;Aı¨t-Sahalia;Journal of Finance,2001

2. Real-time price discovery in stock, bond and foreign exchange markets;Andersen,2004

3. International asset allocation with regime shifts;Ang;Review of Financial Studies,2002

4. Regime switches in interest rates;Ang;Journal of Business and Economic Statistics,2002

5. Stock return predictability. Is it there? Manuscript;Ang,2004

Cited by 285 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Do jumps matter in discrete-time portfolio optimization?;Operations Research Perspectives;2024-12

2. A state-dependent international CAPM for partially integrated markets: Using local and US risk factors;Global Finance Journal;2024-09

3. Deep learning for enhanced index tracking;Quantitative Finance;2024-05-03

4. Identification and forecasting of bull and bear markets using multivariate returns;Journal of Applied Econometrics;2024-04-04

5. Sustainable risk preferences on asset allocation: a higher order optimal portfolio study;Journal of Behavioral and Experimental Finance;2024-03

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP