International Asset Allocation With Regime Shifts

By Andrew Ang, Geert Bekaert. 2002

1,593 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2521155069503babc51b65fae22ee7281674ea4a

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Citations in the corpus

Modeling systemic risk with Markov Switching Graphical SUR models (2019, background): “, Ang and Bekaert 2002, and Guidolin and Timmermann (4)See, e.g., Erdös and Rényi (1959), Dempster (1972), Dawid and Lauritzen (1993), Giudici and Green (1999), and Carvalho and West (2007) for more details on static specifications of graphical models.”
Does the price of oil interact with clean energy prices in the stock market (2013, result): “There are also several previous studies that report an asymmetric dependence in the stock market (Maheu and McCurdy, 2000; Ang and Bekaert, 2002; Okimoto, 2008).”
Modeling International Financial Returns with a Multivariate Regime Switching Copula (2009, neutral): “Ang & Bekaert (2002a) estimate a Gaussian Markov switching model for international returns and identify two regimes, a bear regime with negative returns, high volatilities and correlations and a bull regime with positive mean, low volatilities and correlations.”
Elusive Return Predictability (2008, background): “Ang and Bekaert (2002), Perez-Quiros and Timmermann (2000) and Guidolin and Timmermann (2005) are examples of these models applied to predict stock market returns.”
Volatility Transmission Models: A Survey (2006, neutral): “Based on them, Ang and Bekaert (2002) show that a regime-switching (RS) model reproduces these asymmetric exceedance correlations, whereas standard models, such as multivariate normal or asymmetric GARCH models, do not.”
Time-varying short-horizon predictability ☆ (2008, positive): “In a sample of four developed countries, Ang and Bekaert (2007) show, by an exact Gordon growth formulation and proper annualization of returns, that return predictability is concentrated at short horizons.”
On Markov‐modulated Exponential‐affine Bond Price Formulae (2009, background): “Ang and Bekaert (2002a) explore the presence of regime-switching effects in market interest rates and study the performance of regime-switching models in fitting interest rate data from the United States, Germany and the United Kingdom (see also Ang and Bekaert, 2002b).”
Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2012, neutral): “Several papers …nd that market correlations vary over time, and are generally higher during bear markets than during bull markets (see Longin and Solnik (2001), Ang and Bekaert (2002), and Ang and Chen (2002), for example).”
Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013 (2014, neutral): “When testing the MS-VEC model against the linear VEC alternative, we follow Ang and Bekaert (2002) and use the likelihood-ratio statistic (LR), which is approximately (2)(q) distributed with q restrictions plus the nuisance parameters (i.”
EWMA Control Charts for Monitoring Optimal Portfolio Weights (2007, methodology): “The parameter values are chosen in accordance with a study of Ang and Bekaert (2002). The empirical densities of the sample run lengths for the present parameter constellation can be found in Golosnoy (2004). The distributions of the analyzed run lengths turn out to be extremely skewed.”
Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model (2015, neutral): “Also typical is the finding that the low-volatility regime is more persistent than the high-volatility regime (see also Ang and Bekaert, 2002).”