Value-at-risk measures for the PSE index using hidden markov models
Year: 2013
Vol.: 62
No.: 1
Authors: Joselito C. Magadia
Abstract:
VaR measures for the PSE index are estimated using an m-state normal-hidden Markov model. The estimation procedure will be done under an unconditional approach and a conditional approach. Backtesting will be done to assess how well the estimates performed.
Keywords:
homogeneous, irreducible, aperiodic Markov Chain
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