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Sequential Parameter Nonstationarity in Stock Market Returns

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  • Kim, Dongcheol
  • Kon, Stanley J

Abstract

This paper provides a Bayesian test of parameter non stationarity and an estimation procedure for the detection of change points in the time series of stock returns. The empirical results indicate that this procedure can identify the change points in the data without prior knowledge and provide substantially more descriptive validity for the distribution of stock returns than competing models. Copyright 1996 by Kluwer Academic Publishers

Suggested Citation

  • Kim, Dongcheol & Kon, Stanley J, 1996. "Sequential Parameter Nonstationarity in Stock Market Returns," Review of Quantitative Finance and Accounting, Springer, vol. 6(2), pages 103-131, March.
    • Handle: RePEc:kap:rqfnac:v:6:y:1996:i:2:p:103-31
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    Cited by:

    1. Vasiliki Chatzikonstanti & Michail Karoglou, 2022. "Can black swans be tamed with a flexible mean‐variance specification?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3202-3227, July.
    2. Joshua Seungwook Bahng, 2004. "Structural Breaks and the Normality of Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(II), pages 207-227, June.
    3. Kim, Dongcheol & Kon, Stanley J., 1999. "Structural change and time dependence in models of stock returns," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 283-308, September.

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