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Stylized facts of financial time series and hidden semi-Markov models

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  • Bulla, Jan
  • Bulla, Ingo

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4KMYT06-1/2/5618ddca12d581134f1d465ac88baabf
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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 51 (2006)
Issue (Month): 4 (December)
Pages: 2192-2209

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Handle: RePEc:eee:csdana:v:51:y:2006:i:4:p:2192-2209

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Web page: http://www.elsevier.com/locate/csda

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References

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  1. Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998. "Stylized facts of daily return series and the hidden Markov model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 217-244.
  2. C. W. J. GRANGER & Zhuanxin DING, 1995. "Some Properties of Absolute Return: An Alternative Measure of Risk," Annales d'Economie et de Statistique, ENSAE, issue 40, pages 67-91.
  3. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, December.
  4. Jun Yu, 2002. "Forecasting volatility in the New Zealand stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 12(3), pages 193-202.
  5. Richard D. F. Harris & C. Coskun Küçüközmen, 2001. "The Empirical Distribution of UK and US Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(5-6), pages 715-740.
  6. Turner, C.M. & Startz, R. & Nelson, C.R., 1989. "The Markov Model Of Heteroskedasticity, Risk And Learning In The Stock Market," Working Papers 89-01, University of Washington, Department of Economics.
  7. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
  8. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  9. Turner, Christopher M. & Startz, Richard & Nelson, Charles R., 1989. "A Markov model of heteroskedasticity, risk, and learning in the stock market," Journal of Financial Economics, Elsevier, vol. 25(1), pages 3-22, November.
  10. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1990. "Mean Reversion in Equilibrium Asset Prices," NBER Working Papers 2762, National Bureau of Economic Research, Inc.
  11. G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 607-646.
  12. Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
  13. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  14. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-80, April.
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Cited by:
  1. Gallo, Giampiero M. & Otranto, Edoardo, 2008. "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3011-3026, February.
  2. Elliott, Robert & Limnios, Nikolaos & Swishchuk, Anatoliy, 2013. "Filtering hidden semi-Markov chains," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2007-2014.
  3. Jan Bulla, 2010. "Hidden Markov models with t components. Increased persistence and other aspects," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 459-475.
  4. Haas, Markus, 2009. "Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes," Statistics & Probability Letters, Elsevier, vol. 79(15), pages 1674-1683, August.
  5. Gianbiagio Curato & Fabrizio Lillo, 2013. "Modeling the coupled return-spread high frequency dynamics of large tick assets," Papers 1310.4539, arXiv.org.

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