Detecting bearish and bullish markets in financial time series using hierarchical hidden Markov models

DOI10.1177/1471082X211034048MaRDI QIDQ6669919zbMATH OpenFDO

Authors Lennart Oelschläger, Timo Adam

Publication date 22 January 2025

Published in Statistical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/1471082X211034048

zbMATH Keywords

decoding market behaviourhidden Markov modelsstate-space modelstemporal resolutiontime series modelling

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A dynamic analysis of stock markets using a hidden Markov model
• A Markov-switching regression model with non-Gaussian innovations: estimation and testing
• Dynamic portfolio optimization across hidden market regimes
• Empirical evidence on Student-t log-returns of diversified world stock indices
• Hidden Markov models for time series. An introduction using R
• Long memory of financial time series and hidden Markov models with time-varying parameters
• Markov-Switching MIDAS Models
• Multi-scale modeling of animal movement and general behavior data using hidden Markov models with hierarchical structures
• Nonparametric identification and maximum likelihood estimation for hidden Markov models
• Stylized facts of financial time series and hidden semi-Markov models
• The hierarchical hidden Markov model: Analysis and applications

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