CUSUM method in predicting regime shifts and its performance in different stock markets allowing for transaction fees

Journal of Applied Statistics

Volumn 33, Issue 7, 2006, Pages 647-661

  Yi, G ^a   Coleman, Shirley ^a   Ren, Q ^a  

^a NEWCASTLE UNIVERSITY   (United Kingdom)

Author keywords

CUSUM; Financial markets; Regime shifts; SPC; Transaction fees

Indexed keywords

EID: 33746117954     PISSN: 02664763     EISSN: 13600532     Source Type: Journal    
DOI: 10.1080/02664760600708590     Document Type: Review

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