A segmented regime-switching model with its application to stock market indices
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References listed on IDEAS
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, January.
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Keywordsalgorithm; change-point; log-normal; log-returns; Markov process; maximum likelihood estimation; segmented regime-switching model; stock market index; time series;
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