Rey, Clément; Rey, Serge; Viala, Jean-Renaud - In: Economic Modelling 41 (2014) C, pp. 145-155
To detect abnormal states in stock market returns, this study considers seven indices, over a 21-year period, the Dow Jones, S&P500, Nasdaq, Nikkei225, FTSE100, DAX, and CAC40. Three states are possible, namely a state of high rate of return, a state of low rate of return, both with high...