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Identifier to cite or link to this item: https://hdl.handle.net/10086/13679

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Title
A Further Extension of Duration Dependent Models
Creator
Creator Name
Kanoh, Satoru Kanoh, Satoru
加納, 悟 加納, 悟
カノウ, サトル カノウ, サトル
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
社会科学における統計分析拠点構築 = Research Unit for Statistical Analysis in Social Sciences
Key Word
Duration
World stock markets
Markov-switching model
Nonparametric Model
Gibbs sampling
Marginal Likelihood
Abstract
The duration dependence of stock market cycles has been investigated using the Markov-switching model where the market conditions are unobservable. In the conventional modeling, restrictions are imposed that transition probability is a monotonic function of duration and the duration is truncated at a certain value. This paper proposes a model that is free from these arbitrary restrictions and nests the conventional models. In the model,the parameters that characterize the transition probability are formulated in the state space. Empirical results in several stock markets show that the duration structures differ greatly depending on countries. They are not necessarily monotonic functions of duration and, therefore, cannot be described by the conventional models.
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2005-11
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Hi-Stat Discussion paper series ; No. d05-127
Relation
Related Identifier
URI
  http://21coe.ier.hit-u.ac.jp/english/index.html
Number of Pages
29
Sponsorship
21世紀COEプログラム = 21st-Century COE Program
Appears in Collections
Hi-Stat Discussion paper series
URL
https://hdl.handle.net/10086/13679