Search Results - subject:"MS"

Determinants of South African asset market co-movement : evidence from investor sentiment and changing market conditions

Moodley, Fabian; Ferreira-Schenk, Sune; Matlhaku, Kago - In: Risks : open access journal 13 (2025) 1, pp. 1-34

conditions. The Markov regime-switching autoregressive (MS-AR) model and Markov regime-switching vector autoregressive (MS …

Persistent link: https://www.econbiz.de/10015333617

Volatility regimes of selected central European stock returns: A Markov switching GARCH approach

Chocholatá, Michaela - In: Journal of Business Economics and Management (JBEM) 23 (2022) 4, pp. 876-894

traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS … persistence of individual markets which substantially differed across the both regimes. Furthermore, the GJR-GARCH and MS …-GJR-GARCH models clearly confirmed the presence of the leverage effect. Consideration of the MS-GARCH-type models enabled to capture …

Persistent link: https://www.econbiz.de/10015401444

Volatility regimes of selected central European stock returns : a Markov switching GARCH approach

Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894

Persistent link: https://www.econbiz.de/10013499116

Markov switching volatility connectedness across international CDS markets

Mensi, Walid; Gemici, Eray; Polat, Müslüm; Kang, Sang Hoon - In: International review of economics & finance : IREF 98 (2025), pp. 1-17

Persistent link: https://www.econbiz.de/10015330587

The measurement and characteristic analysis of the Chinese financial cycle

Qiu, Siyuan - In: International Journal of Financial Studies : open … 13 (2025) 4, pp. 1-22

. After that, using the monthly data of 2000-2023 as sample space, this paper utilizes the Markov Switching (MS) model to …

Persistent link: https://www.econbiz.de/10015584386

Learning by doing : the industrial and applied mathematics program at Eindhoven University of Technology

Di Bucchianico, Alessandro; Spieksma, Frits C. R.; … - In: INFORMS journal on applied analytics 55 (2025) 2, pp. 85-100

Persistent link: https://www.econbiz.de/10015427517

Learning from failures : employing fault tree analysis and reliability block diagram to investigate the two deadliest peacetime marine disasters

Shah, Nadar - In: Central European review of economics and management : CEREM 8 (2024) 3, pp. 89-114

Aim: This study aims to investigate the root causes of the MS Estonia and Doña Paz maritime disasters and to derive … following questions: a) What technical factors contributed to the MS Estonia and Doña Paz maritime disasters? b) What human and … components influence the overall safety and failure risk of MS Estonia and Doña Paz? To answer these questions, Fault Tree …

Persistent link: https://www.econbiz.de/10015323444

The influence of the Ukraine-Russia conflict on renewable and fossil energy price cycles

Paravee Maneejuk; Nuttaphong Kaewtathip; Woraphon Yamaka - In: Energy economics 129 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014558858

Oil volatility uncertainty : impact on fundamental macroeconomics and the stock index

Aladwani, Jassim - In: Economies : open access journal 12 (2024) 6, pp. 1-23

This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility, Spanish macroeconomic factors, and stock prices during major crises such as geopolitical conflicts, the global financial crisis (GFC), and COVID-19, covering the period from Q2-1995...

Persistent link: https://www.econbiz.de/10014636061

Dynamic relationship between volume and volatility in the Chinese stock market : evidence from the MS-VAR model

Zhang, Feipeng; Zhang, Yilin; Xu, Yixiong; Chen, Yan - In: Data science and management : DSM 7 (2024) 1, pp. 17-24

combines the Markov-switching regime with the vector autoregressive model (MS-VAR). The empirical findings are as follows: (1 …

Persistent link: https://www.econbiz.de/10014518031