Structural break in different stock index markets in China

This paper first presents a two-stage change point estimation approach in the framework of online analysis to detect the Chinese stock market abrupt variations during the period from 4 January 2005 to 10 December 2021. As a check, the pruned exact linear time (PELT) algorithm method is applied to de...

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Bibliographic Details

Published in:	The North American journal of economics and finance Vol. 65; p. 101882
Main Authors:	Li, Boyan, Diao, Xundi
Format:	Journal Article
Language:	English
Published:	Elsevier Inc 01.03.2023
Subjects:	Change point Pruned exact linear time algorithm Significant events Two-stage estimation method Pruned exact linear time algorithm C52 C22 Two-stage estimation method C13 G15 Change point Significant events
ISSN:	1062-9408, 1879-0860
Online Access:	Get full text
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