Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Interaction between stock indices via changepoint analysis

Interaction between stock indices via changepoint analysis Stock market indices from several countries are modelled as discretely sampled diffusions whose parameters change at certain times. To estimate these times of parameter changes we employ both a sequential likelihood‐ratio test and a non‐parametric, spectral algorithm designed specifically for time series with multiple changepoints. Finally, we use point‐process techniques to model relationships between changepoints of different financial time series. Copyright © 2006 John Wiley & Sons, Ltd. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Stochastic Models in Business and Industry Wiley

Interaction between stock indices via changepoint analysis

Loading next page...
 
/lp/wiley/interaction-between-stock-indices-via-changepoint-analysis-DzU0OvUxk9

References (21)

Publisher
Wiley
Copyright
Copyright © 2006 John Wiley & Sons, Ltd.
ISSN
1524-1904
eISSN
1526-4025
DOI
10.1002/asmb.653
Publisher site
See Article on Publisher Site

Abstract

Stock market indices from several countries are modelled as discretely sampled diffusions whose parameters change at certain times. To estimate these times of parameter changes we employ both a sequential likelihood‐ratio test and a non‐parametric, spectral algorithm designed specifically for time series with multiple changepoints. Finally, we use point‐process techniques to model relationships between changepoints of different financial time series. Copyright © 2006 John Wiley & Sons, Ltd.

Journal

Applied Stochastic Models in Business and IndustryWiley

Published: Sep 1, 2006

There are no references for this article.