A new algorithm for calibrating local regime-switching models

DOI10.1093/IMAMAN/DPAA012OpenAlexW3046202082MaRDI QIDQ5000475FDOQ5000475

Song-Ping Zhu, Xin-Jiang He

Publication date: 13 July 2021

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpaa012

zbMATH Keywords

calibrationrisk managementempirical testlocal regime-switching model

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)

Cited In (2)

• How should a local regime-switching model be calibrated?
• A new approach to model regime switching

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