Risk Measures in a Regime Switching Model Capturing Stylized Facts
AbstractWe pick up the regime switching model for asset returns introduced by Rogers and Zhang. The calibration involves various markets including implied volatility in order to gain additional predictive power. We focus on the calculation of risk measures by Fourier methods that have successfully been applied to option pricing and analyze the accuracy of the results.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1212.4126.
Date of creation: Dec 2012
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Web page: http://arxiv.org/
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