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Interaction between stock indices via changepoint analysis
dc.contributor.authorLenardon, Martin J.en_US
dc.contributor.authorAmirdjanova, Annaen_US
dc.date.accessioned2007-09-18T19:24:51Z
dc.date.available2007-09-18T19:24:51Z
dc.date.issued2006-09en_US
dc.identifier.citationLenardon, Martin J.; Amirdjanova, Anna (2006). "Interaction between stock indices via changepoint analysis." Applied Stochastic Models in Business and Industry 22(5-6): 573-586. <http://hdl.handle.net/2027.42/55814>en_US
dc.identifier.issn1524-1904en_US
dc.identifier.issn1526-4025en_US
dc.identifier.urihttps://hdl.handle.net/2027.42/55814
dc.description.abstractStock 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.en_US
dc.format.extent284734 bytes
dc.format.extent3118 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.publisherJohn Wiley & Sons, Ltd.en_US
dc.subject.otherMathematics and Statisticsen_US
dc.titleInteraction between stock indices via changepoint analysisen_US
dc.typeArticleen_US
dc.rights.robotsIndexNoFollowen_US
dc.subject.hlbsecondlevelMathematicsen_US
dc.subject.hlbsecondlevelStatistics and Numeric Dataen_US
dc.subject.hlbtoplevelScienceen_US
dc.subject.hlbtoplevelSocial Sciencesen_US
dc.description.peerreviewedPeer Revieweden_US
dc.contributor.affiliationumDepartment of Statistics, University of Michigan, Ann Arbor, MI 48109, U.S.A.en_US
dc.contributor.affiliationumDepartment of Statistics, University of Michigan, Ann Arbor, MI 48109, U.S.A. ; University of Michigan, Department of Statistics, 439 West Hall, 1085 South University Ave., Ann Arbor, MI 48109, U.S.A.en_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/55814/1/653_ftp.pdfen_US
dc.identifier.doihttp://dx.doi.org/10.1002/asmb.653en_US
dc.identifier.sourceApplied Stochastic Models in Business and Industryen_US
dc.owningcollnameInterdisciplinary and Peer-Reviewed


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