An Extension of the Markov-Switching Model with Time-Varying Transition Probabilities: Bull-Bear Analysis of the Japanese Stock Market
Year of publication: |
2004-11
|
---|---|
Authors: | Isogai, Akifumi ; Kanoh, Satoru ; Tokunaga, Toshifumi |
Institutions: | Institute of Economic Research, Hitotsubashi University |
Subject: | Gibbs sampling | Kalman filter | Marginal likelihood | Market dynamics | Time-varying sensitivity |
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