Interaction between stock indices via changepoint analysis

Martin J. Lenardon and Anna Amirdjanova

Applied Stochastic Models in Business and Industry, 2006, vol. 22, issue 5‐6, 573-586

Abstract: Stock market indices from several countries are modelled as discretely sampled diffusions whose parameters change at certain times. To estimate these times of parameter changes we employ both a sequential likelihood‐ratio test and a non‐parametric, spectral algorithm designed specifically for time series with multiple changepoints. Finally, we use point‐process techniques to model relationships between changepoints of different financial time series. Copyright © 2006 John Wiley & Sons, Ltd.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:22:y:2006:i:5-6:p:573-586

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