Regime detection in illiquid frontier markets.
We propose a Hidden Markov Model approach to detect regime shifts in markets where standard volatility-clustering signals are unreliable due to thin trading. Tested across NGX, NSE, and BVMW.
We propose a Hidden Markov Model approach to detect regime shifts in markets where standard volatility-clustering signals are unreliable due to thin trading. Tested across NGX, NSE, and BVMW.
The full paper is in draft. Reach out at info@theelixirslab.com if you’d like an early read.