Decoding Chinese Stock Market Returns: Three-State Hidden Semi-Markov Model
نویسندگان
چکیده
منابع مشابه
Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors
Article history: Received 23 August 2011 Received in revised form 16 April 2012 Accepted 19 April 2012 Available online 5 May 2012 This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More specifically, we apply this mode...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2827838