International Asset Allocation with Regime Shifts

By Keith H. Black. 2003

218 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/bd3049b7c64e6397931a7542e2b643637c0281ac

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Citations in the corpus

Skulls, Financial Turbulence, and Risk Management (2010, unknown): “…models, such as GARCH (generalized autoregressive conditional heteroscedasticity) models (Bollerslev 1986); Markov regime-switching models (Ang and Bekaert 2002); mixture models, such as jump diffusion (Das and Uppal 2004); and implied volatility (Mayhew 1995) have all been proposed as measures…”
Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection (2010, background): “For instance, in a comparable study, and for same levels of risk aversion and investment horizon, Ang and Bekaert (2002) report economic losses between 0.12% and 1.26% when the regimeswitching nature of parameters is ignored.”
Volatility Spillover Effects in European Equity Markets (2005, unknown): “Similar to Ang and Bekaert (2002b), I use an empirical likelihood ratio test.”
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012, unknown): “…dynamic is driven by the matrix Υt and the cross-products of the return shocks Γt = (1− βΓ − αΓ) [(1− ϕΓ)Ω + ϕΓΥt] + βΓΓt−1 + αΓz̄∗t−1z̄∗>t−1 (2.4) where z∗i,t = z ∗ i,t √ Γii,t using the Aielli (2009) modification, βΓ, αΓ, and ϕΓ are scalars, and z̄ ∗ t is an N -dimensional vector with…”
Beyond Correlation: Extreme Co-movements Between Financial Assets (2002, unknown): “,Φ−1(ud)) = ∫ Φ−1(u) −∞ 1 (2π)d/2|Σ|1/2 exp{− 1 2 yTΣ−1y}dy (2)”
Learning Under Ambiguity (2007, unknown): “See Ang and Bekaert [1] for portfolio choice in a regime-switching model.”
Modelling and Forecasting Multivariate Realized Volatility (2011, background): “Evidence of positive linkage between volatility and correlation across stocks has been documented by Andersen et al. (2001), while Ang and Bekaert (2002) and Ang and Chen (2002) find the same phenomenon at the market level.”