Using HMM Approach for Assessing Quality of Value at Risk Estimation: Evidence from PSE Listed Company
The article points out the possibilities of using Hidden Markov model (abbrev. HMM) for estimation of Value at Risk metrics (abbrev. VaR) in sample. For the illustration we use data of the company listed on Prague Stock Exchange in range from January 2011 to June 2016. HMM approach allows us to clas...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Mendel University Press
2017-01-01
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Series: | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
Subjects: | |
Online Access: | https://acta.mendelu.cz/65/5/1687/ |