Conditional means and variances based on regime-switching models -- generalization from two-state to N-state

MaRDI QIDQ3640359zbMATH OpenFDO

Authors Guihuan Zheng, Xun Zhang, Jiawei Zhang

Publication date 11 November 2009

zbMATH Keywords

regime-switching modelconditional meansconditional variances\( N\)-state

Mathematics Subject Classification ID

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

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Cited in

(1)

• The number of regimes across asset returns: identification and economic value

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