Jutasompakorn, Pearpilai; Brooks, Robert; Brown, Christine - In: Journal of International Financial Markets, … 32 (2014) C, pp. 150-166
This study focuses on banking crisis identification and determinants. It identifies banking crisis dates over the period 1995–2010 using market information embedded in banking stocks via a Markov switching autoregressive model, which captures regime shifting behaviour in both the mean and...