A segmented regime-switching model with its application to stock market indices

DOI10.1080/02664763.2010.545374OpenAlexW2026793228MaRDI QIDQ5124913

Hong Xie, Yuehua Wu, Baiqi Miao, Beibei Guo

Publication date: 30 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2010.545374

zbMATH Keywords

algorithmmaximum likelihood estimationtime seriesMarkov processlog-normalchange-pointstock market indexlog-returnssegmented regime-switching model

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

A segmented generalized Markov regime-switching model with its application in financial time series data

Cites Work

• Unnamed Item
• Autoregressive conditional heteroskedasticity and changes in regime
• Data dependent wavelet thresholding in nonparametric regression with change-point applications
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• A Regime-Switching Model of Long-Term Stock Returns

This page was built for publication: A segmented regime-switching model with its application to stock market indices