Concepedia

A high-order Markov-switching model for risk measurement

Tak Kuen Siu, Wai-Ki Ching, Elizabeth-Sharon Fung, Michael K. Ng, Xun Li

Computers & Mathematics with Applications · 2009 · 22 citations · 22 references

Concepts

BusinessFinanceFinancial ManagementMarkov Decision ProcessesProbability TheoryStochastic ModelingMarkov ChainsMarkov ModelingMarkov ProcessesRisk MeasurementRisk ModelingRisk TheoryFirst-order Markov ModelsHigher-order Markov ModelsRisk Measure TheoryTime-series Risk Modeling

References

22

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.7K citations

Social Sciences, Business Economics, Economics +17

Coherent Measures of Risk

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text

Business, Finance, Risk Management +14

On the coherence of expected shortfall

Carlo Acerbi, Dirk Tasche · Journal of Banking & Finance · 2002 · 1.6K citations

Business, Finance, Risk Management +17

An Overview of Value at Risk

Darrell Duffie, Jun Pan · The Journal of Derivatives · 1997 · 1.3K citations

Management, Economics, Finance +10

AMERICAN OPTIONS WITH REGIME SWITCHING

John Buffington, Robert J. Elliott · International Journal of Theoretical and Applied Finance · 2002 · 521 citations

Business, Finance, Mathematics +17