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Title:

Forecasting turbulence in the Asian and European stock market using regime-switching models

Document type:
Zeitschriftenaufsatz
Author(s):
Engel, J.; Wahl, M.; Zagst, R.
Non-TUM Co-author(s):
nein
Cooperation:
-
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:
2
Journal issue:
2
Pages contribution:
388-406
Language:
en
Fulltext / DOI:
doi:10.3934/QFE.2018.2.388
Status:
Preprint / submitted
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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