A Regime-Switching Model of Long-Term Stock Returns

DOI10.1080/10920277.2001.10595984zbMath1083.62530MaRDI QIDQ5718204

Mary R. Hardy

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

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

Related Items

Asset Allocation with Regime-Switching: Discrete-Time Case, Value-at-risk in a market subject to regime switching, Volatility Risk For Regime-Switching Models, Variance of the CTE Estimator, Optimal stopping behavior of equity-linked investment products with regime switching, Temporal aggregation of equity return time-series models, Pricing exotic options under regime switching, Small-time ruin for a financial process modulated by a Harris recurrent Markov chain, Adaptive signal processing of asset price dynamics with predictability analysis, On the joint distribution of surplus before and after ruin under a Markovian regime switching model, Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model, Bounds of ruin probability for regime-switching models using time scale separation

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