Download Table | Sizes, return means, standard deviations, and Jarque-Bera tests of 7 latent states for S&P 500 index from publication: A dynamic analysis of stock markets using a hidden Markov model | This paper proposes a framework to detect financial crises, pinpoint the end of a crisis in stock markets and support investment decision-making processes. This proposal is based on a hidden Markov model (HMM) and allows for a specific focus on conditional mean returns. By | Stock Markets, Hidden Markov Models and GARCH | ResearchGate, the professional network for scientists.
Estimation Results of Tetravariate Fractionally Integrated Varying
PDF) A dynamic analysis of stock markets using a hidden Markov model
PDF) A dynamic analysis of stock markets using a hidden Markov model
Sizes, return means, standard deviations, and Jarque-Bera tests of
Sizes, return means, standard deviations, and Jarque-Bera tests of
Mean, standard deviation, minimum, maximum, skewness, kurtosis
PDF) A dynamic analysis of stock markets using a hidden Markov model
Leonard PAAS, Vrije Universiteit Amsterdam, Amsterdam
Daily (i) returns and (ii) squared returns (truncated at 100) on
Summary Statistics of the Returns of the TOPIX Sectoral Indices (4
PDF) A dynamic analysis of stock markets using a hidden Markov model
Daily (i) returns and (ii) squared returns (truncated at 100) on
Luca DE ANGELIS, Professor (Associate), PhD
Likelihood Ratio Tests: Fractionally Integrated (FI) versus
Daily squared returns, intraday volatility based on 10-minute