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Markov Switching Model for Financial Time Series

Author

Listed:
  • Alina Barbulescu

    (Transilvania University of Brașov)

  • Cristian Stefan Dumitriu

    (SC Utilnavorep SA)

Abstract

Modeling financial time series is an important step for its forecast and risk evaluation when financial assets are involved. In this context, this article presents a Markov Switching Model for BET series recorded during the period Oct-2000 - Sept-2014. It is shown that the model captures two phases in the series variation, even if the series is not stationary.

Suggested Citation

  • Alina Barbulescu & Cristian Stefan Dumitriu, 2021. "Markov Switching Model for Financial Time Series," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 193-198, August.
    • Handle: RePEc:ovi:oviste:v:xxi:y:2021:i:1:p:193-198
    as

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    References listed on IDEAS

    as
    1. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
    2. A. Chakraborti & M. Patriarca & M. S. Santhanam, 2007. "Financial time-series analysis: A brief overview," Papers 0704.1738, arXiv.org.
    3. Florentina Loredana Tache & Florin Postolache & Catalin Nachila & Maria Alexandra Ivan, 2010. "Consulting in Electronic Commerce," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 3(3), pages 162-169, August.
    4. Wun-Hua Chen & Jen-Ying Shih & Soushan Wu, 2006. "Comparison of support-vector machines and back propagation neural networks in forecasting the six major Asian stock markets," International Journal of Electronic Finance, Inderscience Enterprises Ltd, vol. 1(1), pages 49-67.
    5. 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..
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Alina Bărbulescu & Cristian Ștefan Dumitriu, 2021. "On the Connection between the GEP Performances and the Time Series Properties," Mathematics, MDPI, vol. 9(16), pages 1-19, August.

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    More about this item

    Keywords

    Markov Switching Model (MSwM); time series; BET;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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