Markov Switching Model for Financial Time Series
Modeling financial time series is an important step for its forecast and risk evaluation when financial assets are involved. In this context, this article presents a Markov Switching Model for BET series recorded during the period Oct-2000 - Sept-2014. It is shown that the model captures two phases...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Ovidius University Press
2021-01-01
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| Series: | Ovidius University Annals: Economic Sciences Series |
| Subjects: | |
| Online Access: | https://stec.univ-ovidius.ro/html/anale/RO/2021/Section%203/2.pdf |