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  • Search: person:"Akara Kijkarncharoensin"
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Aktienindex 1 Capital income 1 Gaussian mixture 1 Kapitaleinkommen 1 Markov chain 1 Markov-Kette 1 Portfolio selection 1 Portfolio-Management 1 Risikomaß 1 Risk measure 1 Stochastic process 1 Stochastischer Prozess 1 Stock index 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 downside risk 1 expected shortfall 1 hidden Markov model 1 market regime 1 sectoral stock index 1
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Akara Kijkarncharoensin 1
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Risks : open access journal 1
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ECONIS (ZBW) 1
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Identifying risk regimes in a sectoral stock index through a multivariate hidden Markov framework
Akara Kijkarncharoensin - In: Risks : open access journal 13 (2025) 7, pp. 1-19
This study explores the presence of hidden market regimes in a sector-specific stock index within the Thai equity market. The behavior of such indices often deviates from broader macroeconomic trends, making it difficult for conventional models to detect regime changes. To overcome this...
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