Discovering macroeconomic phases using statistical methods.

Economies and financial markets are complex system which can exist in different macroeconomic phases. To build predictive models, we need to know how many such phases there are, and what their statistical properties are. In this report, a recursive segmentation scheme based on the Jensen-Shannon div...

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Bibliographic Details
Main Author: Wong, Jian Cheng.
Other Authors: Lian Heng
Format: Final Year Project
Language:English
Published: 2009
Subjects:
Online Access:http://hdl.handle.net/10356/14733
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Institution: Nanyang Technological University
Language: English