Download This PaperMarkov Switching Models: An Example for a Stock Market Index
21 Pages Posted: 14 Jun 2019 Last revised: 14 Aug 2020
Date Written: May 25, 2019
Abstract
In this document, I discuss in detail how to estimate Markov regime switching models with an example based on a US stock market index.
Keywords: Markov switching, Expectation maximization, bull and bear markets
JEL Classification: C51, C58, A23
Suggested Citation: Suggested Citation
Kole, Erik, Markov Switching Models: An Example for a Stock Market Index (May 25, 2019). Available at SSRN: https://ssrn.com/abstract=3398954 or http://dx.doi.org/10.2139/ssrn.3398954
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