Detection of high and low states in stock market returns with MCMC method in a Markov switching model

Clément Rey (), Serge Rey and Jean-Renaud Viala
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Clément Rey: CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École nationale des ponts et chaussées
Jean-Renaud Viala: AMUNDI Asset Management

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Date: 2014-08
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Published in Economic Modelling, 2014, 41, pp.145-155. ⟨10.1016/j.econmod.2014.05.003⟩

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Related works:
Journal Article: Detection of high and low states in stock market returns with MCMC method in a Markov switching model (2014)
Working Paper: Detection of High and Low States in Stock Market Returns with MCMC Method in a Markov Switching Model (2014)
Working Paper: DETECTION OF HIGH AND LOW STATES IN STOCK MARKET RETURNS WITH MCMC METHOD IN A MARKOV SWITCHING MODEL (2013)
Working Paper: DETECTION OF HIGH AND LOW STATES IN STOCK MARKET RETURNS WITH MCMC METHOD IN A MARKOV SWITCHING MODEL (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04479362

DOI: 10.1016/j.econmod.2014.05.003

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