Work

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

Year: 2024

Type: article

Source: Journal of Asset Management

DOI: 10.1057/s41260-024-00376-x

Authors: Yizhan Shu, Chenyu Yu, John M. Mulvey

Institution: Princeton University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4402809305

FWCI: 6.79

Cites: 57

Cited by: 19

Related to: 10