Olga Sedova

University of Muenster - Finance Center Muenster

Universitatsstr. 14-16

Muenster, 48143

Germany

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Scholarly Papers (1)

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Asset Allocation in Markets with Contagion: The Interplay between Volatilities, Jump Intensities, and Correlations

Review of Financial Economics, Vol. 22, Issue 1, January 2013, 36-46
Posted: 25 Nov 2011 Last Revised: 15 Apr 2013
BI Norwegian Business School, Deutsche Bundesbank and University of Muenster - Finance Center Muenster

Abstract:

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Asset Allocation, Portfolio Choice, Contagion, Systemic Risk, Regime Switching