Interaction between stock indices  via  changepoint analysis | Zendy

Lenardon Martin J. | Zendy; Amirdjanova Anna | Zendy

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Interaction between stock indices via changepoint analysis

Author(s) -

Lenardon Martin J.,

Amirdjanova Anna

Publication year - 2006

Publication title -

applied stochastic models in business and industry

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.413

H-Index - 40

eISSN - 1526-4025

pISSN - 1524-1904

DOI - 10.1002/asmb.653

Subject(s) - econometrics , series (stratigraphy) , parametric statistics , stock (firearms) , stock market index , point process , stock market , mathematics , parametric model , statistics , computer science , geography , biology , paleontology , context (archaeology) , archaeology

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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