Maximum likelihood estimation of the Markov-switching GARCH model based on a sequential recombinatio
The Markov-switching GARCH model allows for a GARCH structure with time-varying parameters. This flexibility is unfortunately undermined...
Multivariate Data-based Risk Measures
In [12], the concept of natural risk statistics is introduced as a data-based risk measure, i.e. as an axiomatic risk measure defined in...
