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Sequential Parameter Nonstationarity in Stock Market Returns.

This paper provides a Bayesian test of parameter non stationarity and an estimation procedure for the detection of change points in the time series of stock returns. The empirical results indicate that this procedure can identify the change points in the data without prior knowledge and provide substantially more descriptive validity for the distribution of stock returns than competing models. Copyright 1996 by Kluwer Academic Publishers
Year of publication:
1996
Authors: Kim, Dongcheol ; Kon, Stanley J
Published in:
Review of Quantitative Finance and Accounting. - Springer. - Vol. 6.1996, 2, p. 103-31
Publisher: Springer
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005701346
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