THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE

DOI10.1142/S021902491450040XzbMath1298.91192MaRDI 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

zbMATH Keywords

Markov switching models; bull and bear markets; density based tests; number of regimes

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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How do capital structure and economic regime affect fair prices of bank's equity and liabilities?, A switching microstructure model for stock prices

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