A high-order Markov-switching model for risk measurement (Q980081)
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scientific article; zbMATH DE number 5727499
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A high-order Markov-switching model for risk measurement |
scientific article; zbMATH DE number 5727499 |
Statements
A high-order Markov-switching model for risk measurement (English)
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28 June 2010
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value-at-risk
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higher-order Markov chain process
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portfolio
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regime-switching
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risk management
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weak Markov chain process
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0.7691583037376404
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0.757682204246521
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0.7565183043479919
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0.7559426426887512
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0.749413788318634
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