Work

Regime switching model for financial data: Empirical risk analysis

Year: 2016

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2016.05.002

Authors: Khaled Salhi, Madalina Deaconu, Antoine Lejay, Nicolas Champagnat, Nicolas Navet

Institutions: Centre National de la Recherche Scientifique, Institut Élie Cartan de Lorraine, Centre Inria de l'Université de Lorraine, Université de Lorraine, University of Luxembourg

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funder: Institut national de recherche en informatique et en automatique (INRIA)

OpenAlex ID: W1041257321

FWCI: 6.135

Cites: 59

Cited by: 22

Related to: 10