Value-at-risk in a market subject to regime switching (Q5440101)

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scientific article; zbMATH DE number 5231521
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Value-at-risk in a market subject to regime switching
scientific article; zbMATH DE number 5231521

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    Value-at-risk in a market subject to regime switching (English)
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    31 January 2008
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    VaR
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    backtesting
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    regime switching
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    stochastic volatility
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    forecast probability
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    smoothed probability
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    EM algorithm
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