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Interaction between stock indices via changepoint analysis

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  • Martin J. Lenardon
  • Anna Amirdjanova

Abstract

Stock 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.

Suggested Citation

  • Martin J. Lenardon & Anna Amirdjanova, 2006. "Interaction between stock indices via changepoint analysis," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 22(5‐6), pages 573-586, September.
    • Handle: RePEc:wly:apsmbi:v:22:y:2006:i:5-6:p:573-586
    DOI: 10.1002/asmb.653
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    References listed on IDEAS

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