Forecasting turbulence in the Asian and European stock market using regime-switching models
An early warning system to timely forecast turbulences in the Asian and European stockmarket is proposed. To ensure comparability, the model is constructed analogously to the early warningsystem for the US stock market presented by Hauptmann et al. (2014). Based on the time series ofdiscrete monthly...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2018-06-01
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| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | http://www.aimspress.com/article/10.3934/QFE.2018.2.388/fulltext.html |