Please use this identifier to cite or link to this item: http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/2418
Title: Testing of binary regime switching models using squeeze duration analysis
Authors: DAS, MILAN KUMAR
GOSWAMI, ANINDYA
Dept. of Mathematics
Keywords: Empirical volatility
regime switching GBM
time series analysis
parameter inference
TOC-MAR-2019
2019
Issue Date: Mar-2019
Publisher: World Scientific Publishing
Citation: International Journal of Financial Engineering, 6(1), 1950006.
Abstract: We have developed a statistical technique to test the model assumption of binary regime switching extension of the geometric Brownian motion (GBM) model by proposing a new discriminating statistics. Given a time series data, we have identified an admissible class of the regime switching candidate models for the statistical inference. By performing several systematic experiments, we have successfully shown that the sampling distribution of the test statistics differs drastically, if the model assumption changes from GBM to Markov modulated GBM, or to semi-Markov modulated GBM. Furthermore, we have implemented this statistics for testing the regime switching hypothesis with Indian sectoral indices.
URI: http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/2418
https://doi.org/10.1142/S2424786319500063
ISSN: 2424-7863
2424-7944
Appears in Collections:JOURNAL ARTICLES

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