Showing 61 - 70 of 708,808
it possible to investigate the intra-daily price movements and their relationship with the corresponding trading volumes …
Persistent link: https://www.econbiz.de/10010235172
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
Persistent link: https://www.econbiz.de/10012800652
We investigate whether the favorable performance of a fairly simple multistate multivariate Markov regime switching model relative to even very complex multivariate GARCH specifications, recently reported in the literature using measures of in-sample prediction accuracy, extends to pseudo...
Persistent link: https://www.econbiz.de/10010206925
Persistent link: https://www.econbiz.de/10012395129
Persistent link: https://www.econbiz.de/10011691329
Persistent link: https://www.econbiz.de/10011698937
Persistent link: https://www.econbiz.de/10011665786
Persistent link: https://www.econbiz.de/10011944970
Persistent link: https://www.econbiz.de/10011754115