Technical Appendix for 'Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc.'

46 Pages Posted: 11 Dec 2020

See all articles by Sebastien Lleo

Sebastien Lleo

NEOMA Business School

William T. Ziemba

University of British Columbia (UBC) - Sauder School of Business; Systemic Risk Centre - LSE

Jessica Li

Neoma Business School

Date Written: September 27, 2020

Abstract

This Appendix contains technical details on the changepoint detection algorithms applied in the paper.

Keywords: changepoint methods, regime switching models, machine learning, factor models, empirical asset pricing, event studies

JEL Classification: C1, C22, C44,G12, G14, C32

Suggested Citation

Lleo, Sebastien and Ziemba, William T. and Li, Jessica, Technical Appendix for 'Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc.' (September 27, 2020). Available at SSRN: https://ssrn.com/abstract=3700425 or http://dx.doi.org/10.2139/ssrn.3700425

Sebastien Lleo (Contact Author)

NEOMA Business School ( email )

Reims
France

William T. Ziemba

University of British Columbia (UBC) - Sauder School of Business ( email )

2053 Main Mall
Vancouver, BC V6T 1Z2
Canada
604-261-1343 (Phone)
604-263-9572 (Fax)

HOME PAGE: http://williamtziemba.com

Systemic Risk Centre - LSE ( email )

Houghton St, London WC2A 2AE, United Kingdom

Jessica Li

Neoma Business School ( email )

59, rue Pierre Taittinger
Reims, 51100
France

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