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Regime-Switching Portfolio Replication
Generating a Volatility from the RSLN-2 Model Dynamic Unconditional Volatility σ = √ Var [Yt ] = √ ... observation. The regime will be one or the other; the dynamic volatility will generally not be equal to either ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Finance & Investments>Asset liability management; Modeling & Statistical Methods