A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings

A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings

This paper explores the sensitivity of Romanian collective investment undertakings’ returns to changes in equity, fixed income and foreign exchange market returns. We use a sample of 80 open-end investment funds and pension funds with daily returns between 2016 and 2018. Our methodology co...

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Bibliographic Details
Main Authors: Leonardo Badea, Daniel Ştefan Armeanu, Iulian Panait, Ştefan Cristian Gherghina
Format: Article
Language:English
Published: MDPI AG 2019-03-01
Series:Sustainability
Subjects:
Markov switching
conditional volatility
conditional correlation
market risk
investment and pension funds
Online Access:http://www.mdpi.com/2071-1050/11/5/1325

Internet

http://www.mdpi.com/2071-1050/11/5/1325

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