Journal of Mathematical Finance

Vol.7 No.2(2017), Paper ID 76695, 22 pages

DOI:10.4236/jmf.2017.72026

 

The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets

 

Ata Assaf

 

Faculty of Business Administration, University of Balamand, Balamand, Lebanon

 

Copyright © 2017 Ata Assaf et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article

Assaf, A. (2017) The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets. Journal of Mathematical Finance, 7, 491-512. doi: 10.4236/jmf.2017.72026.
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