A Regime-Switching Model of Long-Term Stock Returns
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Publication:5718204
DOI10.1080/10920277.2001.10595984zbMath1083.62530OpenAlexW2293176873MaRDI QIDQ5718204
Publication date: 13 January 2006
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2001.10595984
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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