A new algorithm for calibrating local regime-switching models

DOI10.1093/imaman/dpaa012OpenAlexW3046202082MaRDI QIDQ5000475

Xin-Jiang He, Song-Ping Zhu

Publication date: 13 July 2021

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpaa012

zbMATH Keywords

calibrationrisk managementempirical testlocal regime-switching model

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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