An Extension of the Markov-Switching Model with Time-Varying Transition Probabilities: Bull-Bear Analysis of the Japanese Stock Market
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More about this item
KeywordsGibbs sampling; Kalman filter; Marginal likelihood; Market dynamics; Time-varying sensitivity;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-12-12 (All new papers)
- NEP-CFN-2004-12-12 (Corporate Finance)
- NEP-ECM-2004-12-12 (Econometrics)
- NEP-ETS-2004-12-12 (Econometric Time Series)
- NEP-FIN-2004-12-12 (Finance)
- NEP-FIN-2004-12-15 (Finance)
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