A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns
Year of publication: |
2010-08-25
|
---|---|
Authors: | Ntantamis, Christos |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Hidden Markov Model | Variable-dependent regime duration | Regime Switching | Interest rate effect |
-
Detecting Structural Breaks using Hidden Markov Models
Ntantamis, Christos, (2010)
-
Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A., (2020)
-
Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis
Begiazi, Kyriaki, (2019)
- More ...
-
Detecting Structural Breaks using Hidden Markov Models
Ntantamis, Christos, (2010)
-
Detecting Housing Submarkets using Unsupervised Learning of Finite Mixture Models
Ntantamis, Christos, (2010)
-
The BDS test as a test for the adequacy of a GARCH (1,1) specification: A Monte Carlo study
Caporale, Guglielmo Maria, (2004)
- More ...