A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns
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References listed on IDEAS
- Dueker, Michael J, 1997.
"Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 15(1), pages 26-34, January.
- Michael J. Dueker, 1995. "Markov switching in GARCH processes and mean reverting stock market volatility," Working Papers 1994-015, Federal Reserve Bank of St. Louis.
- Tom Doan, "undated". "RATS programs to replicate Dueker(1997) Markov switching GARCH models," Statistical Software Components RTZ00048, Boston College Department of Economics.
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Cited by:
- John M. Maheu & Thomas H. McCurdy & Yong Song, 2012.
"Components of Bull and Bear Markets: Bull Corrections and Bear Rallies,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 30(3), pages 391-403, February.
- John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
More about this item
Keywords
Hidden Markov Model; Variable-dependent regime duration; Regime Switching; Interest rate effect;JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2010-09-11 (All new papers)
- NEP-ETS-2010-09-11 (Econometric Time Series)
- NEP-FMK-2010-09-11 (Financial Markets)
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