Persistence of averages in financial Markov Switching models: A large deviations approach
Tài liệu tham khảo
Ang, 2012, Regime changes in financial markets, Annu. Rev. Financ. Econ., 4, 313, 10.1146/annurev-financial-110311-101808
Ellis, 1985
Touchette, 2009, The large deviation approach to statistical mechanics, Phys. Rep., 478, 1, 10.1016/j.physrep.2009.05.002
Duffy, 2007, Loss aversion, large deviations preferences and optimal portfolio weights for some classes of return processes, Physica A, 378, 408, 10.1016/j.physa.2006.11.079
Sornette, 1998, Large deviations and portfolio optimization, Physica A, 256, 251, 10.1016/S0378-4371(98)00114-9
Williams, 2004, Small noise asymptotics for a stochastic growth model, J. Econom. Theory, 119, 271, 10.1016/j.jet.2003.12.007
Hansen, 2012, Recursive utility in a Markov environment with stochastic growth, Proc. Natl. Acad. Sci., 109, 11967, 10.1073/pnas.1200237109
Kitamura, 1997, Empirical likelihood methods with weakly dependent processes, Ann. Statist., 25, 2084, 10.1214/aos/1069362388
Touchette, 2018, Introduction to dynamical large deviations of Markov processes, Physica A, 504, 5, 10.1016/j.physa.2017.10.046
Cody, 1969, Rational Chebyshev approximations for the error function, Math. Comp., 23, 631, 10.1090/S0025-5718-1969-0247736-4
Bucklew, 1990
Dembo, 1998
Miller, 1961, A convexity property in the theory of random variables on a finite Markov chain, Ann. Math. Stat., 32, 1260, 10.1214/aoms/1177704865
Forde, 2010, The large-maturity smile of the Heston model, Finance Stoch., 15, 755, 10.1007/s00780-010-0147-3
Kitamura, 2002, Connections between entropic and linear projections in asset pricing estimation, J. Econometrics, 107, 159, 10.1016/S0304-4076(01)00118-X
Hansen, 2009, Long-term risk: An operator approach, Econometrica, 77, 177, 10.3982/ECTA6761
Sapp, 2016, Efficient estimation of distributional tail shape and the extremal index with applications to risk management, J. Math. Finance, 6, 626, 10.4236/jmf.2016.64046
Altman, 2004, Defaults and returns on high yield bonds, J. Portf. Manag., 30, 58, 10.3905/jpm.2004.319931
Hamilton, 1994
Dembo, 2004, Large portfolio losses, Finance Stoch., 8, 3, 10.1007/s00780-003-0107-2
Stutzer, 2013, Optimal hedging via large deviations, Physica A, 392, 3177, 10.1016/j.physa.2013.03.022
Roy, 1952, Safety-first and the holding of assets, Econometrica, 20, 10.2307/1907413
Pyle, 1970, Safety-first and expected utility maximization in mean-standard deviation portfolio analysis, Rev. Econ. Stat., 7, 75, 10.2307/1927600