DETECTION OF HIGH AND LOW STATES IN STOCK MARKET RETURNS WITH MCMC METHOD IN A MARKOV SWITCHING MODEL

Clément Rey; Serge Rey; Jean-Renaud Viala

Preprints, Working Papers, ... Year :

DETECTION OF HIGH AND LOW STATES IN STOCK MARKET RETURNS WITH MCMC METHOD IN A MARKOV SWITCHING MODEL

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Clément Rey

Function : Author

Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique

Serge Rey

Function : Author
PersonId : 174685
IdHAL : serge-rey
ORCID : 0000-0002-7967-9188
IdRef : 134326822

Centre d'Analyse Théorique et de Traitement des données économiques

Jean-Renaud Viala

Function : Author

AMUNDI Asset Management

Domains

Economics and Finance Quantitative Finance [q-fin]

Fichier principal

2012_2013_11DocWcattStock_Market_Returns_MCMC_Method_Markov_Switching_Model_CRey_SRey_JRViala.pdf (489.98 Ko)

Origin : Files produced by the author(s)

Anne PERRIN BONRAISIN : Connect in order to contact the contributor

https://hal-univ-pau.archives-ouvertes.fr/hal-02939031

Submitted on : Tuesday, September 15, 2020-11:56:41 AM

Last modification on : Monday, November 7, 2022-5:24:33 PM

Long-term archiving on: Thursday, December 3, 2020-6:02:41 AM

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hal-02939031 , version 1 (15-09-2020)

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HAL Id : hal-02939031 , version 1

Cite

Clément Rey, Serge Rey, Jean-Renaud Viala. DETECTION OF HIGH AND LOW STATES IN STOCK MARKET RETURNS WITH MCMC METHOD IN A MARKOV SWITCHING MODEL. 2013. ⟨hal-02939031⟩

DETECTION OF HIGH AND LOW STATES IN STOCK MARKET RETURNS WITH MCMC METHOD IN A MARKOV SWITCHING MODEL

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