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Title:

Asset Correlations in Turbulent Markets and their Implications on Asset Management

Document type:
Zeitschriftenaufsatz
Author(s):
Bernhart, G.; Höcht, S.; Neugebauer, M.; Neumann, M.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
-
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:
1
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
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