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.
Luca DE ANGELIS, Professor (Associate), PhD
PDF) A dynamic analysis of stock markets using a hidden Markov model
Daily squared returns, intraday volatility based on 10-minute
PDF) A dynamic analysis of stock markets using a hidden Markov model
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
PDF) A dynamic analysis of stock markets using a hidden Markov model
Luca DE ANGELIS, Professor (Associate), PhD
Sizes, return means, standard deviations, and Jarque-Bera tests of
Leonard PAAS, Vrije Universiteit Amsterdam, Amsterdam
Leonard PAAS, Vrije Universiteit Amsterdam, Amsterdam
Luca DE ANGELIS, Professor (Associate), PhD
Estimation Results of Tetravariate Fractionally Integrated Varying