Using Smooth Transition Regressions to Model Risk Regimes

DOI10.1142/9789811202391_0125MaRDI QIDQ5139574zbMATH OpenOpenAlexFDO

Authors

Publication date 9 December 2020

Published in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789811202391_0125

zbMATH Keywords

hedge fundsregime switchingrisk measurementsmooth transition regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15) Derivative securities (option pricing, hedging, etc.) (91G20)

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