Markov Switching Models: An Example for a Stock Market Index

Autor:	Erik Kole
Rok vydání:	2019
Předmět:	Markov chain Expectation–maximization algorithm Economics Econometrics Regime switching Stock market index
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.3398954
Popis:	In this document, I discuss in detail how to estimate Markov regime switching models with an example based on a US stock market index.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1ac6017ca2ade7ef4911d8b576cc220f https://doi.org/10.2139/ssrn.3398954 Zobrazit plný text záznamu