A segmented regime-switching model with its application to stock market indices
Year of publication: |
2011
|
---|---|
Authors: | Guo, Beibei ; Wu, Yuehua ; Xie, Hong ; Miao, Baiqi |
Published in: |
Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 38.2011, 10, p. 2241-2252
|
Publisher: |
Taylor & Francis Journals |
Subject: | algorithm | change-point | log-normal | log-returns | Markov process | maximum likelihood estimation | segmented regime-switching model | stock market index | time series |
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