Detecting macroeconomic phases in the Dow Jones Industrial Average time series
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...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/91824 http://hdl.handle.net/10220/6107 |
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| Institution: | Nanyang Technological University |
| Language: | English |