Value-at-risk measures for the PSE index using hidden markov models.
Value-at-Risk (VaR) that measures the PSE index are estimated using an m-state normal-hidden Markov model. The estimation procedure will be done under unconditional and conditional approaches. Backtesting will be done to assess how well the estimates performed.
| Udgivet i: | Philippine Statistician Vol. 62, no. 1 (2013), 21-32 |
|---|---|
| Hovedforfatter: | |
| Format: | Article |
| Sprog: | English |
| Udgivet: |
2013
|
| Fag: |