CUSUM method in predicting regime shifts and its performance in different stock markets allowing for transaction fees
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DOI: 10.1080/02664760600708590
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References listed on IDEAS
- Blondell, David & Hoang, Philip & Powell, John G. & Shi, Jing, 2002. "Detection of Financial Time Series Turning Points: A New CUSUM Approach Applied to IPO Cycles," Review of Quantitative Finance and Accounting, Springer, vol. 18(3), pages 293-315, May.
- Kahya, Emel & Theodossiou, Panayiotis, 1999. "Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology," Review of Quantitative Finance and Accounting, Springer, vol. 13(4), pages 323-345, December.
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- A R Brentnall & M J Crowder & D J Hand, 2010. "Likelihood-ratio changepoint features for consumer-behaviour models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(3), pages 462-472, March.
- Wu, Zhang & Yang, Mei & Jiang, Wei & Khoo, Michael B.C., 2008. "Optimization designs of the combined Shewhart-CUSUM control charts," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 496-506, December.
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Keywords
SPC; CUSUM; regime shifts; financial markets; transaction fees;All these keywords.
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