Hauptmann, Johannes; Hoppenkamps, Anja; Min, Aleksey; … - In: Financial Markets and Portfolio Management 28 (2014) 2, pp. 139-164
We propose an early warning system to timely forecast turbulence in the US stock market. In a first step, a Markov-switching model with two regimes (a calm market and a turbulent market) is developed. Based on the time series of the monthly returns of the S&P 500 price index, the corresponding...