Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/64934
題名: | Application of Hidden Markov Switching Moving Average Model in Stock Markets: Theory and Empirical Evidence | 作者: | Lin, Shih-Kuei;Wang, S. Y.;Tsai, P. L. 林士貴 |
貢獻者: | 金融系 | 關鍵詞: | Stock return mean reversion; Hidden Markov chains; Moving average; EM algorithm | 日期: | Mar-2009 | 上傳時間: | 27-Mar-2014 | 摘要: | In this paper, we propose a hidden Markov switching moving average model (MS-MA model) to extend the moving average model when the dynamic process of stock returns is predictable. That is, hidden Markov chain can be utilized to better describe the stock return dynamics when moving averages are correlated. Based on the MS-MA model, a recursive method of EM algorithm for parameter estimation is proposed and a numerical analysis is demonstrated. Furthermore, we empirically test the hidden Markov chain model using Dow Jones thirty stocks` data. The empirical results show that the dynamic process of stock returns exhibits MS-MA property, meaning the moving averages of stock returns are correlated. Therefore, the MS-MA model allows us to better understand and to predict stock return stochastic process. This model also helps in pricing equity derivatives. | 關聯: | International Review of Economics and Finance,18(2), 306-317 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.iref.2008.06.010 |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
306317.pdf | 426.37 kB | Adobe PDF2 | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.