Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/74536
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dc.contributor.authorElliott, R.-
dc.contributor.authorLau, J.-
dc.contributor.authorMiao, H.-
dc.contributor.authorSiu, T.-
dc.date.issued2012-
dc.identifier.citationApplied Mathematical Finance, 2012; 19(3):219-231-
dc.identifier.issn1350-486X-
dc.identifier.issn1350-486X-
dc.identifier.urihttp://hdl.handle.net/2440/74536-
dc.description.abstractWe outline a two-stage estimation method for a Markov-switching Generalized Autoregressive Conditional Heteroscedastic (GARCH) model modulated by a hidden Markov chain. The first stage involves the estimation of a hidden Markov chain using the Vitberi algorithm given the model parameters. The second stage uses the maximum likelihood method to estimate the model parameters given the estimated hidden Markov chain. Applications to financial risk management are discussed through simulated data.-
dc.description.statementofresponsibilityRobert J. Elliott, John W. Lau, Hong Miao & Tak Kuen Siu-
dc.language.isoen-
dc.publisherRoutledge-
dc.rights©2012 Taylor & Francis-
dc.source.urihttp://dx.doi.org/10.1080/1350486x.2011.620396-
dc.subjectvolatility-
dc.subjectregime switching-
dc.subjectGARCH-
dc.subjectViterbi algorithm-
dc.subjectreference probability-
dc.subjectfilter-
dc.subjectmaximum likelihood estimation-
dc.subjectvalue at risk-
dc.titleViterbi-based estimation for Markov switching GARCH model-
dc.typeJournal article-
dc.identifier.doi10.1080/1350486X.2011.620396-
pubs.publication-statusPublished-
Appears in Collections:Aurora harvest 4
Mathematical Sciences publications

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