User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Bernhart, G.; Höcht, S.; Neugebauer, M.; Neumann, M.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Asset Correlations in Turbulent Markets and their Implications on Asset Management 
Abstract:
In this article, the dependence structure of the asset classes stocks, government bonds, and corporate bonds in different market environments and its implications on asset management are investigated. Asset returns are modelled by a Markov-switching model which allows for two market regimes with completely different risk-return structures. Using major stock indices, calm and turbulent market periods are identified for the time period between 1987 and 2009 and the correlation structures in the re...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Asia-Pacific Journal of Operational Research 
Year:
2011 
Journal volume:
28 
Journal issue:
Pages contribution:
1-23 
Reviewed:
ja 
Language:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
versions