Brillaint breakdown on the regime-switching problem. The point about correlation clustering during crises is smth I've seen firsthand with my own portfolios. That 2022 example is brutal because both assets dumped together, basically nuking the entire diversifcation thesis. Really curious to see how the DCC-GARCH models handle this in part 2.
I love your articles, I'm learning so much from it (as someone not educated in this field) thank you, it is a real pleasure reading. I'm always looking forward for the next awesome text that make my day
Brillaint breakdown on the regime-switching problem. The point about correlation clustering during crises is smth I've seen firsthand with my own portfolios. That 2022 example is brutal because both assets dumped together, basically nuking the entire diversifcation thesis. Really curious to see how the DCC-GARCH models handle this in part 2.
I agree -- I experienced it really badly during the GFC, and that taught me a rather valuable lesson.
I love your articles, I'm learning so much from it (as someone not educated in this field) thank you, it is a real pleasure reading. I'm always looking forward for the next awesome text that make my day