A segmented generalized Markov regime-switching model with its application in financial time series data (Q5107743)
From MaRDI portal
scientific article; zbMATH DE number 7194316
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A segmented generalized Markov regime-switching model with its application in financial time series data |
scientific article; zbMATH DE number 7194316 |
Statements
A segmented generalized Markov regime-switching model with its application in financial time series data (English)
0 references
28 April 2020
0 references
change-point detection algorithm
0 references
log-returns
0 references
Markov process
0 references
maximum likelihood estimation
0 references
generalized Markov regime-switching model
0 references
stock market index
0 references
0 references
0 references
