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Regime switching model for financial data: Empirical risk analysis · Study

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ArticleRegime switching model for financial data: Empirical risk analysis

Khaled Salhi2016

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Articlebronze2016

Regime switching model for financial data: Empirical risk analysis

Khaled Salhi · Mädälina Deaconu · Antoine Lejay · Nicolas Champagnat · Nicolas Navet

22 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Probability and Risk Models

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 2001Empirical properties of asset returns: stylized facts and statistical issues 2003Financial Modelling with Jump Processes 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

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2018Value‐at‐risk under market shifts through highly flexible models

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Year2016

Typearticle

Published2016-05-26

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2016.05.002

openalex_workW1041257321

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