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Dynamic allocations for currency futures under switching regimes signals · Study

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ArticleDynamic allocations for currency futures under switching regimes signals

Lorenzo Reus2016

Article2016

Dynamic allocations for currency futures under switching regimes signals

Lorenzo Reus · John M. Mulvey

20 citations·0/0 files stored·European Journal of Operational Research

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1984Forward and spot exchange rates 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns 2008Carry Trades and Currency Crashes 2003Why is it so difficult to beat the random walk forecast of exchange rates?2005Empirical exchange rate models of the nineties: Are any fit to survive?2000The forward premium puzzle: different tales from developed and emerging economies 1994Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns

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2024Downside risk reduction using regime-switching signals: a statistical jump model approach

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Year2016

Typearticle

Published2016-02-20

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations20

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.ejor.2016.02.024

openalex_workW2280456455

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