Lin, Shih-Kuei; Wang, Shin-Yun; Tsai, Pei-Ling - In: International Review of Economics & Finance 18 (2009) 2, pp. 306-317
In this paper, we propose a hidden Markov switching moving average model (MS-MA model) to extend the moving average model when the dynamic process of stock returns is predictable. That is, hidden Markov chain can be utilized to better describe the stock return dynamics when moving averages are...