Copula-based prediction of economic movements

In this paper we model the discretized returns of two paired time series BM&FBOVESPA Dividend Index and BM&FBOVESPA Public Utilities Index using multivariate Markov models. The discretization corresponds to three categories, high losses, high profits and the complementary periods of the seri...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	García, J. E., González-López, V. A., Hirsh, I. D.
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Discretization Economic models Markov analysis Markov chains Partitions Strategy Transition probabilities Utilities
Online-Zugang:	Volltext
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