Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-23
contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation … independently follows the regime-switch GARCH model, while the correlation of joint innovation of the GARCH models follows the …-at-risk (CDaR), in the portfolio optimization. The optimization is performed with the sample paths simulated by the MRS-MNTS-GARCH …