Abstract
| Language | English |
|---|---|
| Title of host publication | Handbook of Asian finance |
| Subtitle of host publication | REITs, trading, and fund performance |
| Editors | David Lee Kuo Chuen, Greg N. Gregoriou |
| Place of Publication | San Diego, CA |
| Publisher | Elsevier |
| Chapter | 15 |
| Pages | 267-284 |
| Number of pages | 18 |
| Volume | 2 |
| ISBN (Electronic) | 9780128010631 |
| ISBN (Print) | 9780128009864 |
| DOIs | |
| Publication status | Published - 2014 |
| Externally published | Yes |
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Keywords
- Asian markets
- Change point analysis
- Global Financial Crisis
- Non-parametric
- Timing
Cite this
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Nonparametric multiple change-point analysis of the responses of Asian markets to the Global Financial Crisis. / Allen, David E.; Kalev, Petko S.; McAleer, Michael J.; Singh, Abhay K.
Handbook of Asian finance: REITs, trading, and fund performance. ed. / David Lee Kuo Chuen; Greg N. Gregoriou. Vol. 2 San Diego, CA : Elsevier, 2014. p. 267-284.Research output: Chapter in Book/Report/Conference proceeding › Chapter › Research › peer-review
TY - CHAP
T1 - Nonparametric multiple change-point analysis of the responses of Asian markets to the Global Financial Crisis
AU - Allen, David E.
AU - Kalev, Petko S.
AU - McAleer, Michael J.
AU - Singh, Abhay K.
PY - 2014
Y1 - 2014
N2 - This analysis presents an application of a recently developed approach by Matteson and James (2012) for the analysis of change points in time-series data; in this case financial market indices converted to financial return series. The method involves the nonparametric estimation of both the number of change points and the positions at which they occur without making assumptions about the nature of the distributions involved. The procedure is used to explore the timing and number of change points in the data sets corresponding to the effects of the GFC and subsequent European Debt Crisis and their impact on daily market index return series for the Japanese, Chinese, Malaysian, Singaporean, and Indonesian markets from 2003 to 2013.
AB - This analysis presents an application of a recently developed approach by Matteson and James (2012) for the analysis of change points in time-series data; in this case financial market indices converted to financial return series. The method involves the nonparametric estimation of both the number of change points and the positions at which they occur without making assumptions about the nature of the distributions involved. The procedure is used to explore the timing and number of change points in the data sets corresponding to the effects of the GFC and subsequent European Debt Crisis and their impact on daily market index return series for the Japanese, Chinese, Malaysian, Singaporean, and Indonesian markets from 2003 to 2013.
KW - Asian markets
KW - Change point analysis
KW - Global Financial Crisis
KW - Non-parametric
KW - Timing
UR - https://www.scopus.com/inward/record.uri?eid=2-s2.0-84942254299&doi=10.1016%2fB978-0-12-800986-4.00015-7&partnerID=40&md5=96828d6e16b2c012e2214e0d1e5851ef
U2 - 10.1016/B978-0-12-800986-4.00015-7
DO - 10.1016/B978-0-12-800986-4.00015-7
M3 - Chapter
SN - 9780128009864
VL - 2
SP - 267
EP - 284
BT - Handbook of Asian finance
A2 - Chuen, David Lee Kuo
A2 - Gregoriou, Greg N.
PB - Elsevier
CY - San Diego, CA
ER -