Mixture Gaussian Time Series Modeling of Long-Term Market Returns

DOI10.1080/10920277.2005.10596227zbMath1215.91068OpenAlexW1563759807MaRDI QIDQ3010446

Albert C. S. Wong, Wai Sum Chan

Publication date: 2 July 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2005.10596227

zbMATH Keywords

stochastic modelregime-switching model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (4)

General framework and model building in the class of hidden mixture transition distribution models ⋮ A mixture integer-valued ARCH model ⋮ Modelling long-term investment returns via Bayesian infinite mixture time series models ⋮ Validation Of Long-Term Equity return Models For Equity-Linked Guarantees

Cites Work

• Analysis of time series subject to changes in regime
• Estimating the dimension of a model
• Determining the order of differencing in seasonal time series processes
• Coherent Measures of Risk
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• “A Regime-Switching Model of Long-Term Stock Returns” by Mary Hardy, April 2001
• A Regime-Switching Model of Long-Term Stock Returns
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