A high-order Markov-switching model for risk measurement
نویسندگان
چکیده
منابع مشابه
A high-order Markov-switching model for risk measurement
In this paper, we introduce a discrete-time higher-order Markov-switching (HMS) model for measuring the risk of a portfolio. We suppose that the logarithmic returns from a risky portfolio is governed by a HMS model with the drift and the volatility switch over time according to the states of a discrete-time higher-order hidden Markov model (HHMM). We interpret the states of the HHMM as unobserv...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2009
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2008.10.099