A Markov switching re-evaluation of event-study methodology

DOI10.1007/978-3-7908-2604-3_41MaRDI QIDQ3298495zbMATH OpenOpenAlexFDO

Authors Rosella Castellano, Luisa Scaccia

Publication date 14 July 2020

Published in Proceedings of COMPSTAT'2010 (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11393/41753

zbMATH Keywords

credit default swapsevent-studyhierarchical BayesMarkov switching models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
• A regime switching long memory model for electricity prices

Cited in

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• A new stochastically flexible event methodology with application to proposition 103
• Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective

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