Articlebronze2006

Interaction between stock indices via changepoint analysis

11 citations0/0 files storedApplied Stochastic Models in Business and Industry

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Advanced Statistical Process Monitoring Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

Abstract Stock market indices from several countries are modelled as discretely sampled diffusions whose parameters change at certain times. To estimate these times of parameter changes we employ both a sequential likelihood‐ratio test and a non‐parametric, spectral algorithm designed specifically for time series with multiple changepoints. Finally, we use point‐process techniques to model relationships between changepoints of different financial time series. Copyright © 2006 John Wiley & Sons, Ltd.

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1990Transmission of Volatility between Stock Markets 1989Transmission of Volatility Between Stock Markets 1989International Transmission of Stock Market Movements 2001Long memory and regime switching 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements 1990Testing For Common Features 2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes

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