Detecting macroeconomic phases in the Dow Jones Industrial Average time series

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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書目詳細資料
Main Authors:	Wong, Jian Cheng, Lian, Heng, Cheong, Siew Ann
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2009
主題:	DRNTU::Science::Mathematics::Statistics DRNTU::Business::Finance::Mathematical finance
在線閱讀:	https://hdl.handle.net/10356/91824 http://hdl.handle.net/10220/6107
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

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