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Document type:
Zeitschriftenaufsatz 
Author(s):
Hauptmann, J.; Hoppenkamps, A.; Min, A.; Ramsauer, F.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
national 
Title:
Forecasting market turbulences using regime-switching models 
Abstract:
We propose an early warning system to timely forecast turbulence in the US stock market. In a first step, a Markov-switching model with two regimes (a calm market and a turbulent market) is developed. Based on the time series of the monthly returns of the S&P; 500 price index, the corresponding filtered probabilities are successively estimated. In a second step, the turbulent phase of the model is further specified to distinguish between bullish and bearish trends. For comparison only, a Markov-sw...    »
 
Keywords:
early warning system, financial crisis, logistic regression models, markov-switching models 
Intellectual Contribution:
Contribution to Practice 
Journal title:
Financial Markets and Portfolio Management 
Journal listet in FT50 ranking:
nein 
Year:
2014 
Journal volume:
28 
Journal issue:
Pages contribution:
139-164 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Ja 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Ja 
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