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Detection of high and low states in stock market returns with MCMC method in a Markov switching model

Author

Listed:
  • Clément Rey

    (CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École des Ponts ParisTech)

  • Serge Rey

    (UPPA - Université de Pau et des Pays de l'Adour)

  • Jean-Renaud Viala

    (AMUNDI Asset Management)

Abstract

No abstract is available for this item.

Suggested Citation

  • Clément Rey & Serge Rey & Jean-Renaud Viala, 2014. "Detection of high and low states in stock market returns with MCMC method in a Markov switching model," Post-Print hal-04479362, HAL.
    • Handle: RePEc:hal:journl:hal-04479362
    DOI: 10.1016/j.econmod.2014.05.003
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