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초록
In order to monitor stock market instability in emerging markets, we propose a stock market instability index (SMII) with a corresponding p-value by using a model fitted to a stable period. More precisely, this study considers a random walk model and combines it with a nonparametric model by using Bayesian model averaging. The integrated stock market instability index (iSMII) and its p-value are derived as a posterior expectation of the two models. In this study, an artificial neural network (ANN) is utilized as a nonparametric model.
키워드
Instability stock market index; p-value; bayesian model averaging; nonparametric model; random walk model; artificial neural networks; EARLY WARNING SYSTEM; CURRENCY CRISES; NEURAL-NETWORKS; BALANCE; MODEL
- 제목
- Intelligent stock market instability index: Application to the Korean stock market
- 저자
- Kim, Young Min; Han, Sung Kwon; Kim, Tae Yoon; Oh, Kyong Joo; Luo, Zhiming; Kim, Chiho
- 발행일
- 2015
- 유형
- Article
- 권
- 19
- 호
- 4
- 페이지
- 879 ~ 895