The DOI matches its Crossref record; 35 of the 35 references it cites were found in a registry or an index.
Asset allocation under multivariate regime switching
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Citations
Cites
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Hamilton, J. D. (1989) · Econometrica · doi:10.2307/1912559 · Cited by 9,646
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, J. Y., & Shiller, R. J. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.3.195 · Cited by 3,774
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, J., & Shiller, R. (1986) · National Bureau of Economic Research · doi:10.3386/w2100 · Cited by 2,425
International Asset Allocation With Regime Shifts
Ang, A., & Bekaert, G. (2002) · Review of Financial Studies · doi:10.1093/rfs/15.4.1137 · Cited by 1,729
Asymmetric correlations of equity portfolios
Ang, A., & Chen, J. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(02)00068-5 · Cited by 1,522
Modeling the conditional distribution of interest rates as a regime-switching process
Gray, S. F. (1996) · Journal of Financial Economics · doi:10.1016/0304-405x(96)00875-6 · Cited by 1,490
Investing for the Long Run when Returns Are Predictable
Barberis, N. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00205 · Cited by 1,372
Real-time price discovery in global stock, bond and foreign exchange markets
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2007) · Journal of International Economics · doi:10.1016/j.jinteco.2007.02.004 · Cited by 1,127
Consumption and Portfolio Decisions when Expected Returns are Time Varying
Campbell, J. Y., & Viceira, L. M. (1999) · The Quarterly Journal of Economics · doi:10.1162/003355399556043 · Cited by 1,033
Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model
Veronesi, P. (1999) · Review of Financial Studies · doi:10.1093/rfs/12.5.975 · Cited by 998
Cited by
A liability-relative drawdown approach to pension asset liability management
Berkelaar, A., & Kouwenberg, R. (2010) · Journal of Asset Management · doi:10.1057/jam.2010.13 · Cited by 21
Metadata
- Authors
- Guidolin, M., & Timmermann, A.
- Venue
- Journal of Economic Dynamics and Control
- Publisher
- Elsevier BV
- Published
- 2007-11
- Volume
- 31
- Issue
- 11
- Pages
- 3503-3544
- ISSN
- 0165-1889 (ISSN-L)
- OpenAlex
- W3122672345
- Cited by
- 423
- References
- 35
- FWCI
- 23.84
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Asset allocation under multivariate regime switching. https://app.cochat.ai/papers/10.1016/j.jedc.2006.12.004
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- Guidolin, M., & Timmermann, A. (2007). Asset allocation under multivariate regime switching. Journal of Economic Dynamics and Control. https://doi.org/10.1016/j.jedc.2006.12.004
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
