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

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

zbMATH Keywords

Markov switching modelsbull and bear marketsdensity based testsnumber of regimes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (2)

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

Cites Work

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• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• A simple approach for pricing equity options with Markov switching state variables
• A new look at the statistical model identification

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