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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Engel, J.; Wahl, M.; Zagst, R.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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...     »
Stichworte:
Early warning system, Logistic regression models, Markov-switching models
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Quantitative Finance and Economics
Journal gelistet in FT50 Ranking:
nein
Jahr:
2018
Band / Volume:
2
Heft / Issue:
2
Seitenangaben Beitrag:
388-406
Sprache:
en
Volltext / DOI:
doi:10.3934/QFE.2018.2.388
Status:
Preprint / submitted
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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