A high-order Markov-switching model for risk measurement
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Publication:980081
DOI10.1016/j.camwa.2008.10.099zbMath1189.91084OpenAlexW2020825797MaRDI QIDQ980081
Publication date: 28 June 2010
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2008.10.099
portfoliovalue-at-riskrisk managementregime-switchinghigher-order Markov chain processweak Markov chain process
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