Switching-regime regression for modeling and predicting a stock market return
It has been observed that certain economic and financial variables commonly exhibit switching behavior depending on their magnitude. This phenomenon in general cannot be naturally captured by the linear regression (LR), which assumes a linear relationship between the dependent and explanatory variab...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
2019
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| Online Access: | http://hdl.handle.net/20.500.11937/78261 |