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Risks and Non-Linear Dynamics

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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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Notes

  1. 1.

    We consider here a portfolio composed by three assets as an illustration. x′ stands for transpose of vector x.

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Authors and Affiliations

  1. LabEx ReFi and IPAG, University Paris1 Panthéon-Sorbonne, Paris, France

    Dominique Guégan

  2. University Ca’Foscari, Venezia, Italy

    Dominique Guégan

  3. Department of Computer Science, University College London, London, UK

    Bertrand K. Hassani

  4. Department of Finance, Université Paris 1 Panthéon-Sorbonne, Paris, France

    Bertrand K. Hassani

  5. Department of Financial Regulation, LabeX Refi (ESCP - ENA - Paris 1), Paris, France

    Bertrand K. Hassani

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  1. Dominique Guégan
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Guégan, D., Hassani, B.K. (2019). Risks and Non-Linear Dynamics. In: Risk Measurement. Springer, Cham. https://doi.org/10.1007/978-3-030-02680-6_7

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