Identifying Risk Regimes in a Sectoral Stock Index Through a Multivariate Hidden Markov Framework

This study explores the presence of hidden market regimes in a sector-specific stock index within the Thai equity market. The behavior of such indices often deviates from broader macroeconomic trends, making it difficult for conventional models to detect regime changes. To overcome this limitation,...

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Bibliographic Details

Published in:	Risks
Main Author:	Akara Kijkarncharoensin
Format:	Article
Language:	English
Published:	MDPI AG 2025-07-01
Subjects:	hidden Markov model Gaussian mixture market regime sectoral stock index downside risk expected shortfall
Online Access:	https://www.mdpi.com/2227-9091/13/7/135