Analysis of Structural Changes in Financial Datasets Using the Breakpoint Test and the Markov Switching Model

• Main Authors: Phoong, Seuk Wai, Phoong, Seuk Yen, Phoong, Kok Hau
• 格式: Article
• 出版: MDPI 2020
• 主題: HF Commerce; HG Finance
• 在線閱讀: http://eprints.um.edu.my/25400/; https://doi.org/10.3390/sym12030401

The price movements of commodities are determined by changes in the expectations about future economic variables. Crude oil price is non-stationary, highly volatile, and unstructured in nature, which makes it very difficult to predict over short-to-medium time horizons. Some analysts have indicated...