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Identifier to cite or link to this item: https://hdl.handle.net/10086/14073

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Title
An Extension of the Markov-Switching Model with Time-Varying Transition Probabilities: Bull-Bear Analysis of the Japanese Stock Market
Creator
Creator Name
Isogai, Akifumi Isogai, Akifumi
磯貝, 明文 磯貝, 明文
イソガイ, アキフミ イソガイ, アキフミ
Affiliation
Affiliation Name
MTB Investment Technology Institute Co., Ltd.
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
Creator Name
Tokunaga, Toshifumi Tokunaga, Toshifumi
徳永, 俊史 徳永, 俊史
Affiliation
Affiliation Name
Nanzan 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
Gibbs sampling
Kalman filter
Marginal likelihood
Market dynamics
Time-varying sensitivity
Abstract
This paper attempts to extend the Markov-switching model with time-varying transition probabilities (TVTP). The transition probabilities in the conventional TVTP model are functions of exogenous variables that are time-dependent but with constant coefficients. In this paper the coefficient parameters that express the sensitivities of the exogenous variables are also allowed to vary with time. Using data on Japanese monthly stock returns, it is shown that the explanatory power of the extended model is superior to conventional models.
Description
first draft: November 1, 2004
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2004-11
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Hi-Stat Discussion paper series ; No. d04-43
Relation
Related Identifier
URI
  http://21coe.ier.hit-u.ac.jp/english/index.html
Number of Pages
27
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/10086/14073