Value-at-risk in a market subject to regime switching
type: Item
instance of: scholarly article
title: Value-at-risk in a market subject to regime switching
zbMATH Open document ID: 1151.91574
DOI: 10.1080/14697680601161795
author: Ryohei Kawata
author: Masaaki Kijima
published in: Quantitative Finance
publication date: 2008-01-31T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5231521
zbMATH Keywords: VaR
zbMATH Keywords: backtesting
zbMATH Keywords: regime switching
zbMATH Keywords: stochastic volatility
zbMATH Keywords: forecast probability
zbMATH Keywords: smoothed probability
zbMATH Keywords: EM algorithm
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1080/14697680601161795
OpenAlex ID: W2011614459
cites work: A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
cites work: A Regime-Switching Model of Long-Term Stock Returns
cites work: VaR is subject to a significant positive bias
cites work: Regime switching for dynamic correlations
cites work: A structure for general and specific market risk
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description: scientific article; zbMATH DE number 5231521