Detecting macroeconomic phases in the Dow Jones Industrial Average time series

• المؤلفون الرئيسيون: Wong, Jian Cheng, Lian, Heng, Cheong, Siew Ann
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2009
• الموضوعات: DRNTU::Science::Mathematics::Statistics; DRNTU::Business::Finance::Mathematical finance
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/91824; http://hdl.handle.net/10220/6107
• المؤسسة: Nanyang Technological University

In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average (DJI) time series between January 1997 and August 2008. Modeling the index movements and log-index movements as stationary Gaussian processes, we find a total of 116 and 119 statistically s...