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...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2019-03-01
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Series: | Sustainability |
Subjects: | |
Online Access: | http://www.mdpi.com/2071-1050/11/5/1325 |