Temporal aggregation of Markov-switching financial return models

DOI10.1002/ASMB.751zbMATH Open1224.91049OpenAlexW4239990573MaRDI QIDQ3077477FDOQ3077477

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

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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)

Cites Work

• Temporal Aggregation of Garch Processes
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Title not available (Why is that?)
• Temporal aggregation of volatility models
• Moments of Markov switching models
• 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
• Asymptotic behaviour of temporal aggregates of time series
• Title not available (Why is that?)
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• The effects of temporal aggregation on tests of linearity of a time series.
• A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models

Cited In (4)

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

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