THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE
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Publication:2929381
DOI10.1142/S021902491450040XzbMath1298.91192OpenAlexW3020903068MaRDI QIDQ2929381
Mathieu Gatumel, Florian Ielpo
Publication date: 12 November 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021902491450040x
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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