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Author: | Idier, J. |
Title: | Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models |
Journal: | European Journal of Finance
2011 : JAN-FEB, VOL. 17: 1-2, P. 27-48 |
Index terms: | stock markets volatility models |
Freeterms: | multifractal models Markov switching co-cycle lengths comovements |
Language: | eng |
Abstract: | The author uses Markov switching multifractal models to derive new indicators by considering different horizons for dependency among four stock indices (NYSE FTSE DAX CAC) between 1996 and 2008. The detection of crises, extreme volatility comovements or the co-cycle lengths are derived. |
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