Examining the heterogeneous regimes of stock market identified with two variants of B-B algorithms that differ in rigidness of specification
This paper studies the more prolonged type of heterogeneous regimes in the stock market identified with the non-parametric Bry and Boschan (1971) (B-B) algorithm. Specifically, the paper extracts and examines the statistical properties of these durations derived using two variants of B-B algorithms,...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English English |
| Published: |
2017
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| Subjects: | |
| Online Access: | https://eprints.ums.edu.my/id/eprint/27398/1/Examining%20the%20heterogeneous%20regimes%20of%20stock%20market%20identified%20with%20two%20variants%20of%20B-B%20algorithms%20that%20differ%20in%20rigidness%20of%20specification%20FULL%20TEXT.pdf https://eprints.ums.edu.my/id/eprint/27398/2/Examining%20the%20heterogeneous%20regimes%20of%20stock%20market%20identified%20with%20two%20variants%20of%20B-B%20algorithms%20that%20differ%20in%20rigidness%20of%20specification%20ABSTRACT.pdf |