hrcak mascot   Srce   HID

Izvorni znanstveni članak
https://doi.org/10.17535/crorr.2016.0014

Asset allocation and regime switching on Croatian financial market

Tihana Škrinjarić   ORCID icon orcid.org/0000-0002-9310-6853 ; Department of Mathematics, Faculty of Economics and Business, University of Zagreb, Trg J. F. Kennedyja 6, 10000 Zagreb, Croatia
Boško Šego   ORCID icon orcid.org/0000-0003-0127-3572 ; Department of Mathematics, Faculty of Economics and Business, University of Zagreb, Trg J. F. Kennedyja 6, 10000 Zagreb, Croatia

Puni tekst: engleski, pdf (312 KB) str. 201-215 preuzimanja: 421* citiraj
APA 6th Edition
Škrinjarić, T. i Šego, B. (2016). Asset allocation and regime switching on Croatian financial market. Croatian Operational Research Review, 7 (2), 201-215. https://doi.org/10.17535/crorr.2016.0014
MLA 8th Edition
Škrinjarić, Tihana i Boško Šego. "Asset allocation and regime switching on Croatian financial market." Croatian Operational Research Review, vol. 7, br. 2, 2016, str. 201-215. https://doi.org/10.17535/crorr.2016.0014. Citirano 01.10.2020.
Chicago 17th Edition
Škrinjarić, Tihana i Boško Šego. "Asset allocation and regime switching on Croatian financial market." Croatian Operational Research Review 7, br. 2 (2016): 201-215. https://doi.org/10.17535/crorr.2016.0014
Harvard
Škrinjarić, T., i Šego, B. (2016). 'Asset allocation and regime switching on Croatian financial market', Croatian Operational Research Review, 7(2), str. 201-215. https://doi.org/10.17535/crorr.2016.0014
Vancouver
Škrinjarić T, Šego B. Asset allocation and regime switching on Croatian financial market. Croatian Operational Research Review [Internet]. 2016 [pristupljeno 01.10.2020.];7(2):201-215. https://doi.org/10.17535/crorr.2016.0014
IEEE
T. Škrinjarić i B. Šego, "Asset allocation and regime switching on Croatian financial market", Croatian Operational Research Review, vol.7, br. 2, str. 201-215, 2016. [Online]. https://doi.org/10.17535/crorr.2016.0014

Sažetak
It has been known for quite some time now that financial markets exhibit changes in regimes over time. A majority of the literature tends to support that financial markets undergo regimes of bull and bear markets. This characteristic should be modeled in a proper way as investors are always interested in beating the market: either by achieving better returns than others, or by minimizing their portfolio risks. There exist many mathematical and statistical models that are used as tools to achieve the mentioned goals. Introducing the regime switching methodology in existing models has proven to be facilitate achieving such goals. Therefore, the objective of this study is to utilize the regime switching methodology on the Croatian financial market to ascertain its usefulness for Croatian investors. Multivariate regime switching and non-switching models were estimated using daily data from the period 2 January 2007 to 31 December 2015. The assumption is that the investor is interested in stock and bond markets. The results from the MGARCH and regime switching MGARCH models are then compared in order to give answers as to whether the respective methodology applied to the Croatian market is useful and how it may benefit investors. Most of the results support the presumption of incorporating this particular methodology in financial modeling for the Croatia markets. This is the first research that applies the regime switching MGARCH methodology in Croatia (including the Balkan region), hence we expect that this will be a significant contribution to existing methodologies in literature.

Ključne riječi
MGARCH; regime switching; portfolio; Croatian financial market; nonlinear models

Hrčak ID: 174202

URI
https://hrcak.srce.hr/174202

Posjeta: 685 *