Angelis, Luca De; Paas, Leonard J. - In: Journal of Applied Statistics 40 (2013) 8, pp. 1682-1700
This paper proposes a framework to detect financial crises, pinpoint the end of a crisis in stock markets and support investment decision-making processes. This proposal is based on a hidden Markov model (HMM) and allows for a specific focus on conditional mean returns. By analysing weekly...