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Persistent link: https://www.econbiz.de/10003984927
In this paper we show how the latent Markov model can be used to define different conditions in the stock market, called market-regimes. Changes in regimes can be used to detect financial crises, pinpoint the end of a crisis and predict future developments in the stock market, to some degree....
Persistent link: https://www.econbiz.de/10013156577