Regime Detection in Sub-Saharan Africa Equity Markets – A Hidden Markov Model Approach
October-December 2021 - Vol 13 Num. 4
Complaints of heightened risks in the sub-Saharan African equities markets are rife in the practitioner literature. Investors need an understanding of the volatility dynamics in these frontier markets. This paper uses the Hidden Markov Models to detect the points of regime changes in the volatility in the markets of...
Regime Detection in Sub-Saharan Africa Equity Markets – A Hidden Markov Model Approach
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