This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

A Further Extension of Duration Dependent Models

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Satoru Kanoh
Abstract

The duration dependence of stock market cycles has been investigated using the Markov-switching model where the market conditions are unobservable. In the conventional modeling, restrictions are imposed that transition probability is a monotonic function of duration and the duration is truncated at a certain value. This paper proposes a model that is free from these arbitrary restrictions and nests the conventional models. In the model,the parameters that characterize the transition probability are formulated in the state space. Empirical results in several stock markets show that the duration structures differ greatly depending on countries. They are not necessarily monotonic functions of duration and, therefore, cannot be described by the conventional models.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://hi-stat.ier.hit-u.ac.jp/research/discussion/2005/pdf/D05-127.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Institute of Economic Research, Hitotsubashi University in its series Hi-Stat Discussion Paper Series with number d05-127.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Nov 2005
Date of revision:
Handle: RePEc:hst:hstdps:d05-127

Contact details of provider:
Postal: 2-1 Naka, Kunitachi City, Tokyo 186
Phone: +81-42-580-8327
Fax: +81-42-580-8333
Email:
Web page: http://www.ier.hit-u.ac.jp/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Tatsuji Makino).

Related research
Keywords: Duration; World stock markets; Markov-switching model; Nonparametric Model; Gibbs sampling; Marginal Likelihood;

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? Use the JEL tree to browse through the database by subfields.

This page was last updated on 2009-12-11.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.