The number of regimes across asset returns : identification and economic value
Mathieu Gatumel; Florian Ielpo
| Year of publication: |
2014
|
|---|---|
| Authors: | Gatumel, Mathieu ; Ielpo, Florian |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 6, p. 1-25
|
| Subject: | Bull and bear markets | Markov switching models | number of regimes | density based tests | Markov-Kette | Markov chain | Theorie | Theory | Kapitaleinkommen | Capital income | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Modellierung | Scientific modelling | 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/10010438505