Value-at-risk in a market subject to regime switching

DOI10.1080/14697680601161795zbMath1151.91574OpenAlexW2011614459MaRDI QIDQ5440101

Masaaki Kijima, Ryohei Kawata

Publication date: 31 January 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680601161795

zbMATH Keywords

EM algorithmstochastic volatilityregime switchingsmoothed probabilityVaRbacktestingforecast probability

Mathematics Subject Classification ID

Related Items (2)

Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach ⋮ VaR and expected shortfall: a non-normal regime switching framework

Cites Work

• Regime switching for dynamic correlations
• A structure for general and specific market risk
• VaR is subject to a significant positive bias
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Regime-Switching Model of Long-Term Stock Returns

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