Value-at-risk in a market subject to regime switching (Q5440101)
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scientific article; zbMATH DE number 5231521
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value-at-risk in a market subject to regime switching |
scientific article; zbMATH DE number 5231521 |
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Value-at-risk in a market subject to regime switching (English)
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31 January 2008
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VaR
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backtesting
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regime switching
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stochastic volatility
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forecast probability
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smoothed probability
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EM algorithm
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