Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective.
Rosella CastellanoLuisa ScacciaPublished in: Central Eur. J. Oper. Res. (2014)
Keyphrases
- stock market
- short term
- long term
- stock price
- trading rules
- financial time series
- stock index futures
- financial data
- financial markets
- stock exchange
- stock data
- stock returns
- listed companies
- financial news
- high frequency
- garch model
- frequency domain
- trading strategies
- stock trading
- wavelet analysis
- foreign exchange
- neural network
- data warehouse
- technical indicators
- denoising
- non stationary