Stock market volatility and regime shifts in returns

Information Sciences

Volumn 94, Issue 1-4, 1996, Pages 179-190

  Chu, Chia Shang James ^a   Santoni, Gary J ^b   Liu, Tung ^b  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b Ball State University   (India)

Author keywords

[No Author keywords available]

Indexed keywords

MARKOV PROCESSES; MATHEMATICAL MODELS;

MARKOV SWITCHING MODEL; STOCK MARKET RETURNS; STOCK MARKET VOLATILITY;

INDUSTRIAL ECONOMICS;

EID: 0030269816     PISSN: 00200255     EISSN: None     Source Type: Journal    
DOI: 10.1016/0020-0255(96)00117-x     Document Type: Article

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