Change point analysis for successive rises and falls of returns based on Schwarz information criterion

DOI10.3969/J.ISSN.1003-5060.2017.07.024MaRDI QIDQ4624375zbMATH OpenFDO

Authors Changchun Tan, Yingning Wang, Yiwen Cao

Publication date 22 February 2019

Full work available at URL https://doi.org/10.3969/J.ISSN.1003-5060.2017.07.024

zbMATH Keywords

change pointgamma distributioninformation criterionShanghai stock exchange composite indexsuccessive rises and falls of returns

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cited in

(1)

• Analysis of stock returns in stock market based on mean breaks of panel data

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