Detection of high and low states in stock market returns with MCMC method in a Markov switching model
Clément Rey; Serge Rey; Jean-Renaud Viala
| Year of publication: |
2014
|
|---|---|
| Authors: | Rey, Clément ; Rey, Serge ; Viala, Jean-Renaud |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 41.2014, p. 145-155
|
| Subject: | Markov switching | MCMC method | Abnormal stock returns | Contingency table | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Theorie | Theory | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns | Aktienmarkt | Stock market |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010438390