Market Risk Analysis is the most comprehensive, rigorous and detailed resource available
on market risk analysis. Written as a series of four interlinked volumes each title is self …

This paper examines the dynamic interrelationships among four highly internationally traded
commodities, oil, copper, gold and silver and three commodity-relevant financial variables …

This article studies the impact of modeling time-varying covariances/correlations of hedge
fund returns in terms of hedge fund portfolio construction and risk measurement. We use a …

We propose an early warning system to timely forecast turbulence in the US stock market. In
a first step, a Markov-switching model with two regimes (a calm market and a turbulent …

Market investors use financial performance measures to determine, often ex post, fund
managers' investment ability and identify the fund managers who are best suited to …

We investigate the cyclical component dynamics of US macroeconomic variables and oil
benchmark prices in a regime-switching environment. We compare two different oil …

The equity premium of the S&P 500 index is explained in this paper by several variables that
can be grouped into fundamental, behavioral, and macroeconomic factors. We hypothesize …

The study analyses the family of regime switching GARCH neural network models, which
allow the generalization of MS type RS-GARCH models to MS-GARCH-NN models by …

This paper investigates the conditional value-at-risk (CVaR) hedge funds portfolio
optimisation approach using a univariate GARCH type model, extreme value theory (EVT) …

This article investigates the use of a regime-switching model of returns for the asset
allocation decision of a fund of hedge funds. In each time period, returns follow a multi …