“A Regime-Switching Model of Long-Term Stock Returns” by Mary Hardy, April 2001

DOI10.1080/10920277.2002.10596036zbMath1084.62538OpenAlexW2235202368MaRDI QIDQ5715853

Gordon E. Klein

Publication date: 5 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2002.10596036

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Mixture Gaussian Time Series Modeling of Long-Term Market Returns

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