A segmented generalized Markov regime-switching model with its application in financial time series data

DOI10.1080/00949655.2019.1709972OpenAlexW2997986750WikidataQ126395109 ScholiaQ126395109MaRDI QIDQ5107743

Yufeng Lin, Yuehua Wu, Hao Ding, Xiao-Gang Wang

Publication date: 28 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2019.1709972

zbMATH Keywords

maximum likelihood estimationMarkov processstock market indexlog-returnschange-point detection algorithmgeneralized Markov regime-switching model

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Empirical decision procedures; empirical Bayes procedures (62C12)

Cites Work

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• COMPOSITE LIKELIHOOD UNDER HIDDEN MARKOV MODEL
• A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A segmented regime-switching model with its application to stock market indices
• A Regime-Switching Model of Long-Term Stock Returns

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