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Titel:

Forecasting market turbulences using regime-switching models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hauptmann, J.; Hoppenkamps, A.; Min, A.; Ramsauer, F.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
national
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:
2
Seitenangaben Beitrag:
139-164
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Urteilsbesprechung:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Ja
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