Sizes, return means, standard deviations, and Jarque-Bera tests of 7
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Download Table | Sizes, return means, standard deviations, and Jarque-Bera tests of 7 latent states for S&P 500 index from publication: A dynamic analysis of stock markets using a hidden Markov model | This paper proposes a framework to detect financial crises, pinpoint the end of a crisis in stock markets and support investment decision-making processes. This proposal is based on a hidden Markov model (HMM) and allows for a specific focus on conditional mean returns. By | Stock Markets, Hidden Markov Models and GARCH | ResearchGate, the professional network for scientists.
Sizes, return means, standard deviations, and Jarque-Bera tests of
Luca DE ANGELIS, Professor (Associate), PhD
Leonard PAAS, Vrije Universiteit Amsterdam, Amsterdam
Luca DE ANGELIS, Professor (Associate), PhD
Likelihood Ratio Tests: Constant-Correlation (CC) versus
Daily squared returns, intraday volatility based on 10-minute
Sizes, return means, standard deviations, and Jarque-Bera tests of
Likelihood Ratio Tests: Fractionally Integrated (FI) versus
Estimation Results of Tetravariate Fractionally Integrated Varying
PDF) A dynamic analysis of stock markets using a hidden Markov model
Luca DE ANGELIS, Professor (Associate), PhD
Leonard PAAS, Vrije Universiteit Amsterdam, Amsterdam
PDF) A dynamic analysis of stock markets using a hidden Markov model
