Temporal aggregation of Markov-switching financial return models

DOI10.1002/asmb.751zbMath1224.91049OpenAlexW4239990573MaRDI QIDQ3077477

Zhang, Lixin, Siu Hung Cheung, Wai Sum Chan

Publication date: 22 February 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.751

zbMATH Keywords

characteristic functiontemporal aggregationMarkov-switching financial return models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Credit risk (91G40)

Cites Work

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