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.
| 發表在: | Philippine Statistician Vol. 62, no. 1 (2013), 21-32 |
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| 格式: | Article |
| 語言: | English |
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2013
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