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Title:

Forecasting market turbulences using regime-switching models

Document type:
Zeitschriftenaufsatz
Author(s):
Hauptmann, J.; Hoppenkamps, A.; Min, A.; Ramsauer, F.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
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...     »
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:
2
Pages contribution:
139-164
Reviewed:
ja
Language:
en
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Ja
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