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Regime-Switching Portfolio Replication
Regime-Switching Portfolio Replication Regime switching models have become a popular tool in econometric time series modeling since their introduction in Hamilton [1989].These models have been ...- 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