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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.