A dynamic analysis of stock markets using a hidden Markov model
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Publication:5129065
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Cites work
- A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A new look at the statistical model identification
- Autoregressive conditional heteroskedasticity and changes in regime
- Examining the interrelation dynamics between option and stock markets using the Markov-switching vector error correction model
- Finite mixture models
- Forecasting Stock Market Volatility with Regime-Switching GARCH Models
- Hidden Markov Models for Time Series
- Hidden Markov models in finance
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- Inference in hidden Markov models.
- Likelihood-based inference for asymmetric stochastic volatility models
- Maximum likelihood estimation of a latent variable time-series model
- Stylized facts of financial time series and hidden semi-Markov models
- Threshold heteroskedastic models
Cited in
(20)- Hidden Markov models with binary dependence
- Detecting stock market regimes from option prices
- Analyzing heterogeneous stock price comovements through hybrid approaches
- Modeling and forecasting of stock markets under a system adaptation framework
- Application of Markov chain techniques for selecting efficient financial stocks for investment portfolio construction
- A Markov-switching regression model with non-Gaussian innovations: estimation and testing
- Clustering financial time series: new insights from an extended hidden Markov model
- Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
- Long memory of financial time series and hidden Markov models with time-varying parameters
- On multinomial hidden Markov model for hierarchical manpower systems
- A segmented regime-switching model with its application to stock market indices
- A non-homogeneous hidden Markov model for predicting the distribution of sea surface elevation
- scientific article; zbMATH DE number 5260790 (Why is no real title available?)
- Comments on: ``Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates
- Bayesian analysis of first-order Markov models for autocorrelated binary responses
- Expectile hidden Markov regression models for analyzing cryptocurrency returns
- An extended Markov-switching model approach to latent heterogeneity in departmentalized manpower systems
- Detecting bearish and bullish markets in financial time series using hierarchical hidden Markov models
- Copula hidden Markov model with unknown number of states
- Bimodal dynamics of the artificial limit order book stock exchange with autonomous traders
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