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Risks and Non-Linear Dynamics

  • Dominique Guégan
  • Bertrand K. Hassani
Chapter

Abstract

In this chapter, we introduce related GARCH processes and two-state Markov switching processes whose parameters are time-varying and are governed by an unobservable random variable, which is modelled by an ergodic Markov chain. We provide the risk measure associated to these dynamics.

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© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Dominique Guégan
    • 1
    • 2
  • Bertrand K. Hassani
    • 3
    • 4
    • 5
  1. 1.LabEx ReFi and IPAGUniversity Paris1 Panthéon-SorbonneParisFrance
  2. 2.University Ca’FoscariVeneziaItaly
  3. 3.Department of Computer ScienceUniversity College LondonLondonUK
  4. 4.Department of FinanceUniversité Paris 1 Panthéon-SorbonneParisFrance
  5. 5.Department of Financial RegulationLabeX Refi (ESCP - ENA - Paris 1)ParisFrance

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