TY  - UNPD
A1  - Branger, Nicole
A1  - Kraft, Holger
A1  - Meinerding, Christoph
T1  - Partial information about contagion risk, self-exciting processes and portfolio optimization : [Version 18 April 2013]
T2  - SAFE working paper series ; No. 28
N2  - This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden Markov chain that captures good and bad economic states. The distinctive feature of a model with contagious jumps is that large negative returns and unobservable transitions of the economy into a bad state can occur simultaneously. We show that in this framework the filtered loss intensities have dynamics similar to self-exciting processes. Besides, we study the impact of unobservable contagious jumps on optimal portfolio strategies and filtering.
T3  - SAFE working paper - 28 
KW  - Asset Allocation
KW  - Contagion
KW  - Nonlinear Filtering
KW  - Hidden State
KW  - Self-exciting Processes
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/31551
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-315514
UR  - http://ssrn.com/abstract=1633479
IS  - Version 18 April 2013
SP  - 1
EP  - 39
ER  -