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  • Search: subject:"segmented regime-switching model"
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Markov process 1 algorithm 1 change-point 1 log-normal 1 log-returns 1 maximum likelihood estimation 1 segmented regime-switching model 1 stock market index 1 time series 1
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Guo, Beibei 1 Miao, Baiqi 1 Wu, Yuehua 1 Xie, Hong 1
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Journal of Applied Statistics 1
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A segmented regime-switching model with its application to stock market indices
Guo, Beibei; Wu, Yuehua; Xie, Hong; Miao, Baiqi - In: Journal of Applied Statistics 38 (2011) 10, pp. 2241-2252
This paper evaluates the ability of a Markov regime-switching log-normal (RSLN) model to capture the time-varying features of stock return and volatility. The model displays a better ability to depict a fat tail distribution as compared with using a log-normal model, which means that the RSLN...
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