A high-order Markov-switching model for risk measurement-Reference-Cited by-同舟云学术

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A high-order Markov-switching model for risk measurement

Published:2009-07 Issue:1 Volume:58 Page:1-10
ISSN:0898-1221
Container-title:Computers & Mathematics with Applications
language:en
Short-container-title:Computers & Mathematics with Applications

Author:

Siu T.K.,Ching W.K.,Fung E.,Ng M.,Li X.

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation

Reference36 articles.

1. Value at Risk: The New Benchmark for Controlling Market Risk;Jorion,1997

2. An overview of value at risk;Duffie;Journal of Derivatives,1997

3. Implementing Value at Risk;Best,1998

4. Thinking coherently;Artzner;Risk,1997

5. Coherent measures of risk;Artzner;Mathematical Finance,1999

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