Full predictivistic modeling of stock market data: application to change point problems

DOI10.1016/j.ejor.2006.04.016zbMath1114.91353OpenAlexW2069040304MaRDI QIDQ869180

Pilar L. Iglesias, Rosangela H. Loschi, Reinaldo B. Arellano-Valle, Frederico R. B. Cruz

Publication date: 26 February 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.04.016

zbMATH Keywords

product partition modeluncertainty modelingstudent-\(t\) distributionnormal-inverse-gamma distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (2)

Loss function-based change point detection in risk measures ⋮ Bayesian Value-at-Risk with product partition models

Cites Work

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