Interaction between stock indices via changepoint analysis
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Publication:5430327
DOI10.1002/asmb.653zbMath1147.91028MaRDI QIDQ5430327
Anna Amirdjanova, Martin J. Lenardon
Publication date: 16 December 2007
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.653
diffusion; changepoint analysis; financial time series models; likelihood and non-parametric estimation
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B84: Economic time series analysis
Cites Work