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Document type:
Zeitschriftenaufsatz 
Author(s):
Engel, J.; Wahl, M.; Zagst, R. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Forecasting turbulence in the Asian and European stock market using regime-switching models 
Abstract:
An early warning system to timely forecast turbulences in the Asian and European stock market is proposed. To ensure comparability, the model is constructed analogously to the early warning system for the US stock market presented by Hauptmann et al. (2014). Based on the time series of discrete monthly returns of the Nikkei 225 and the EuroStoxx 50, filtered probabilities are estimated by two successive Markov-switching models with two regimes each. The market is thus separate...    »
 
Keywords:
Early warning system, Logistic regression models, Markov-switching models 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Quantitative Finance and Economics 
Journal listet in FT50 ranking:
nein 
Year:
2018 
Journal volume:
Journal issue:
Pages contribution:
388-406 
Language:
en 
Fulltext / DOI:
Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein 
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