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Full predictivistic modeling of stock market data: Application to change point problems

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  • Loschi, R.H.
  • Iglesias, P.L.
  • Arellano-Valle, R.B.
  • Cruz, F.R.B.

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  • Loschi, R.H. & Iglesias, P.L. & Arellano-Valle, R.B. & Cruz, F.R.B., 2007. "Full predictivistic modeling of stock market data: Application to change point problems," European Journal of Operational Research, Elsevier, vol. 180(1), pages 282-291, July.
    • Handle: RePEc:eee:ejores:v:180:y:2007:i:1:p:282-291
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    References listed on IDEAS

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    1. Hawkins, Douglas M., 2001. "Fitting multiple change-point models to data," Computational Statistics & Data Analysis, Elsevier, vol. 37(3), pages 323-341, September.
    2. Cathy W. S. Chen & Jack C. Lee, 1995. "Bayesian Inference Of Threshold Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 483-492, September.
    3. Zmeskal, Zdenek, 2005. "Value at risk methodology under soft conditions approach (fuzzy-stochastic approach)," European Journal of Operational Research, Elsevier, vol. 161(2), pages 337-347, March.
    4. R. Arellano-Valle & H. Bolfarine & P. Iglesias, 1994. "A predictivistic interpretation of the multivariatet distribution," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 3(2), pages 221-236, December.
    5. Fernando A. Quintana & Pilar L. Iglesias, 2003. "Bayesian clustering and product partition models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 557-574, May.
    6. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    7. Loschi, Rosangela H. & Iglesias, Pilar L. & Arellano-Valle, Reinaldo B., 2003. "Predictivistic characterizations of multivariate student-t models," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 10-23, April.
    8. Loschi, R. H. & Cruz, F. R. B., 2002. "An analysis of the influence of some prior specifications in the identification of change points via product partition model," Computational Statistics & Data Analysis, Elsevier, vol. 39(4), pages 477-501, June.
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    Cited by:

    1. Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola, 2008. "Bayesian Analysis of Value-at-Risk with Product Partition Models," Papers 0809.0241, arXiv.org, revised May 2009.
    2. Chai, Jian & Xing, Li-Min & Zhou, Xiao-Yang & Zhang, Zhe George & Li, Jie-Xun, 2018. "Forecasting the WTI crude oil price by a hybrid-refined method," Energy Economics, Elsevier, vol. 71(C), pages 114-127.
    3. Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola, 2012. "Bayesian Value-at-Risk with product partition models," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 769-780, November.

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