Benutzer: Gast  Login
Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Hauptmann, J.; Hoppenkamps, A.; Min, A.; Ramsauer, F.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
national 
Titel:
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...    »
 
Stichworte:
early warning system, financial crisis, logistic regression models, markov-switching models 
Intellectual Contribution:
Contribution to Practice 
Zeitschriftentitel:
Financial Markets and Portfolio Management 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2014 
Band / Volume:
28 
Heft / Issue:
Seitenangaben Beitrag:
139-164 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Ja 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Ja