Regime-switching processes and mean-reverting volatility models in value-at-risk estimation : evidence from the Taiwan Stock Index
Yi-Wen Chen, Chu-Bin Lin, and Anthony H. Tu
| Year of publication: |
2020
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| Authors: | Chen, Yi-Wen ; Lin, Chu-Bin ; Tu, Anthony H. |
| Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 56.2020, 12, p. 2693-2710
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| Subject: | Backtesting | regime-switching models | value-at-risk | Volatilität | Volatility | Taiwan | Risikomaß | Risk measure | Aktienindex | Stock index | Schätztheorie | Estimation theory | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2019.1609442 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012312671