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Regime-Based Versus Static Asset Allocation: Letting the Data Speak
16 references·3 citing·40 second hop
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  • 1998Stylized facts of daily return series and the hidden Markov model346 cited
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  • 2004How Regimes Affect Asset Allocation204 cited
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  • 2006Stylized facts of financial time series and hidden semi-Markov models161 cited
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  • 2012Regime Shifts: Implications for Dynamic Strategies66 cited
  • 2011Markov-switching asset allocation: Do profitable strategies exist?

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Cited by

  • 2022Forecasting Stock Market Crashes via Machine Learning39 cited
  • 2017Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets29 cited
  • 2020Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features21 cited