A dynamic analysis of stock markets using a hidden Markov model

Journal of Applied Statistics

Volumn 40, Issue 8, 2013, Pages 1682-1700

  de Angelis, Luca ^a   Paas, Leonard J ^b  

^a UNIVERSITY OF BOLOGNA   (Italy)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

financial crises; hidden Markov model; market stability periods; regime switching; stock market pattern analysis

Indexed keywords

EID: 84880269414     PISSN: 02664763     EISSN: 13600532     Source Type: Journal    
DOI: 10.1080/02664763.2013.793302     Document Type: Article

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