Identifying Risk Regimes in a Sectoral Stock Index Through a Multivariate Hidden Markov Framework
This study explores the presence of hidden market regimes in a sector-specific stock index within the Thai equity market. The behavior of such indices often deviates from broader macroeconomic trends, making it difficult for conventional models to detect regime changes. To overcome this limitation,...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-07-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/13/7/135 |
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