Modelling Uncertainty in Graphs Using Regime-Switching Model
作者： Fengjing Cai , Yuan Li , Huiming Wang
DOI: 10.1007/978-3-642-18387-4_56
关键词:
摘要: We introduce the Markov regime switching model to describe uncertainty in graphs and design algorithm by chain Monte Carlo method. The regime-switching graphical is applied stock market of Shanghai China study conditional dynamic correlation five segments market. Empirical results show that two regimes reflect high low persistent probability comparatively large. Our have potential implication for portfolio selection.
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