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- W2949426921 abstract "This study conducts a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from 4 January 2000 to 30 January 2012. A recursive segmentation procedure is used under the assumption of a Gaussian mixture. The daily number of each quintile of volatilities for all the segments is investigated empirically. It is found that from June 2004 to June 2007, a large majority of stocks are stable and that from 2008 several stocks showed instability. On March 2011, the daily number of instable securities steeply increased due to societal turmoil influenced by the East Japan Great Earthquake. It is concluded that the number of stocks included in each quintile of volatilities provides useful information on macroeconomic situations." @default.
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- W2949426921 date "2012-05-02" @default.
- W2949426921 modified "2023-09-27" @default.
- W2949426921 title "A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices" @default.
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