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pro vyhledávání: '"黎明淵"'
Autor:
Ming-Yuan Li, 黎明淵
88
This paper serves as one of the first studies that adopts a Markov-switching (MS) model to estimate the value of risk (VaR). Specifically, we use a two-regime MS specification, a MS setting with two sets of regime mean and regime variance, on
This paper serves as one of the first studies that adopts a Markov-switching (MS) model to estimate the value of risk (VaR). Specifically, we use a two-regime MS specification, a MS setting with two sets of regime mean and regime variance, on
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/00886755480154331806
Autor:
黎明淵
Hamilton (1989)發展出馬可夫轉換模型(Markov-switching Model)，由於該模型允許母體參數在不同時期，具有間斷性跳動性質，且跳動次數並不限定為一，並利用馬可夫鏈(Markov chain)的機制來掌控狀態
Externí odkaz:
http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22A2002000737%22.