Value-at-risk in a market subject to regime switching
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697680601161795
Reference27 articles.
1. Volatility Spillover Effects in European Equity Markets
2. Term Structure of Interest Rates with Regime Shifts
3. How Accurate Are Value-at-Risk Models at Commercial Banks?
4. Value-at-Risk: a multivariate switching regime approach
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2. Value-at-Risk Forecasting of Chinese Stock Index and Index Future Under Jumps, Permanent Component, and Asymmetric Information;Emerging Markets Finance and Trade;2016-02-17
3. Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach;Central European Journal of Operations Research;2015-07-25
4. On the Cognitive Surprise in Risk Management: An Analysis of the Value-at-Risk (VaR) Historical;Progress in Artificial Intelligence;2015
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