A change point analysis of BOVESPA and BOVMESB indexes using the Bayeian approach

Rosangela H. Loshi, Pilar L. Iglesias and Guilherme G. Moreira
Additional contact information
Rosangela H. Loshi: UFMG
Pilar L. Iglesias: PUC-Chile
Guilherme G. Moreira: UFMG

Economia, 2002, vol. 3, issue 2, pages 239-264

Abstract: In this paper we present a Bayesian solution to the multiple change point problems in the mean m and variance s2 of two Brazilian indexes: Índice Geral da Bolsa de Valores de São Paulo (IBOVESPA) and Índice da Bolsa de Valores de Minas Gerais, Espírito Santo e Brasília (IBOVMESB), both expressed in terms of returns calculated on closing prices. The product partition model defined by Hartigan (1990) is used to obtain the posterior behavior of m and s2 and to construct the posterior distributions of the number of change points. The Gibbs sampling scheme is reviewed and implemented to estimate the posterior distribution of the number of change points. The results are used to analyze the behavior of IBOVESPA and IBOVMESB within the period from 1991 to 1999.

Keywords: Gibbs sampling; product partition model; Student-t distribution (search for similar items in EconPapers)
JEL-codes: C11 C51 (search for similar items in EconPapers)
Date: 2002

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:anp:econom:v:3:y:2002:i:2:p:239-264

Ordering information: This journal article can be ordered from
Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil
http://www.anpec.org.br/revista/

Access Statistics for this article

Economia is edited by Joaquim Pinto de Andrade

More articles in Economia from ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]
Address: Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil
Contact information at EDIRC.
Series data maintained by Hugo E. A. da Gama Cerqueira (). This e-mail address is bad, please contact .