Regime switching, asymmetric correlation and international portfolio choices
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Cited by:
- Slah Bahloul & Fathi Abid, 2012. "Regime-Switching Behavior in the Conditional Volatility of MENA Stock Market Returns," Working Papers 683, Economic Research Forum, revised 2012.
- Linyu Cao & Ruili Sun & Tiefeng Ma & Conan Liu, 2023. "On Asymmetric Correlations and Their Applications in Financial Markets," JRFM, MDPI, vol. 16(3), pages 1-18, March.
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Keywords
Andrey Markov; regime switching; asymmetric correlation; portfolio optimisation; portfolio choices; international portfolios; home equities; equity bias; equity returns; discrete-time models; USA; United States; global investors; investments; financial markets; bull markets; bear markets; optimal portfolio weights; probabilities; probability; estimate revision; monetary economics; finance.;All these keywords.
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