Markov Switching Model for Financial Time Series

Alina Barbulescu () and Cristian Stefan Dumitriu ()
Additional contact information
Alina Barbulescu: Transilvania University of Brașov
Cristian Stefan Dumitriu: SC Utilnavorep SA

Ovidius University Annals, Economic Sciences Series, 2021, vol. XXI, issue 1, 193-198

Abstract: Modeling financial time series is an important step for its forecast and risk evaluation when financial assets are involved. In this context, this article presents a Markov Switching Model for BET series recorded during the period Oct-2000 - Sept-2014. It is shown that the model captures two phases in the series variation, even if the series is not stationary.

Keywords: Markov Switching Model (MSwM); time series; BET (search for similar items in EconPapers)
JEL-codes: C32 C58 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://stec.univ-ovidius.ro/html/anale/RO/2021/Section%203/2.pdf (application/pdf)

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: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xxi:y:2021:i:1:p:193-198

Access Statistics for this article

Ovidius University Annals, Economic Sciences Series is currently edited by Spatariu Cerasela

More articles in Ovidius University Annals, Economic Sciences Series from Ovidius University of Constantza, Faculty of Economic Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Gheorghiu Gabriela ().