Temporal aggregation of Markov-switching financial return models

DOI10.1002/ASMB.751MaRDI QIDQ3077477zbMATH OpenOpenAlexFDO

Authors Lixin Zhang, Siu Hung Cheung, Wai Sum Chan

Publication date 22 February 2011

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.751

zbMATH Keywords

characteristic functiontemporal aggregationMarkov-switching financial return models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 3890413 (Why is no real title available?)
• scientific article; zbMATH DE number 1005342 (Why is no real title available?)
• A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models
• Asymptotic behaviour of temporal aggregates of time series
• Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation
• Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Moments of Markov switching models
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Temporal Aggregation of Garch Processes
• Temporal aggregation of volatility models
• The effects of temporal aggregation on tests of linearity of a time series.

Cited in

(4)

• Temporal aggregation of equity return time-series models
• Applications of regime-switching models based on aggregation operators
• Option pricing when asset returns jump interruptedly
• A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models

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