Search Results - subject:"Markov‐switching model"

Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions

Karamé, Frédéric; Olmedo, Alexandra - Centre d'Études des Politiques Économiques (EPEE), … - 2010

We propose a methodology extending the structural VAR approach to nonlinear Markov-Switching framework. We present the exact IRFs and discuss their properties as regards the different types of asymmetries (sign, size, state) and assumptions on transition probabilities. We propose a statistical...

Persistent link: https://www.econbiz.de/10010635722

The 2008 Financial Crisis and Potential Output in Asia: Impact and Policy Implications

Park, Cyn-Young; Majuca, Ruperto; Yap, Josef - Office of Regional Economic Integration, Asian … - 2010

-crisis behavior of potential output in emerging East Asian economies by employing the Markov-switching model to account for structural …

Persistent link: https://www.econbiz.de/10008515071

The Effects of the Subprime Crisis on the Latin American Financial Markets: an Empirical Assessment

Dufrénot, Gilles; Mignon, Valérie; Péguin-Feissolle, Anne - Centre d'études prospectives et d'informations … - 2010

? To this end, we rely on a timevarying transition probability Markov-switching model, in which “crisis” and “non …

Persistent link: https://www.econbiz.de/10008455799

The 2008 financial crisis and potential output in Asia : impact and policy implications

Park, Cyn-Young; Majuca, Ruperto; Yap, Josef T. - 2010

-crisis behavior of potential output in emerging East Asian economies by employing the Markov-switching model to account for structural …

Persistent link: https://www.econbiz.de/10011283442

The impact of business and political news on the GCC stock markets

Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - In: Research in international business and finance 52 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012548388

Volatility spillover analysis in commodity markets : volatility spillover from oil prices to precious metals under different regimes

Kirkpinar, Aysegul - In: Contemporary issues in business economics and finance, (pp. 45-56). 2020

Persistent link: https://www.econbiz.de/10012313140

Optimal filter approximations for latent long memory stochastic volatility

Yap, Grace Lee Ching - In: Computational economics 56 (2020) 2, pp. 547-568

Persistent link: https://www.econbiz.de/10012272047

Identifying structural changes and associations in exchange rates with Markov switching models : the evidence from Central European currency markets

Kołodziejczyk, Hanna - In: Bank i kredyt 51 (2020) 1, pp. 69-90

Persistent link: https://www.econbiz.de/10012503346

Funding liquidity risk and the low-volatility anomaly : evidence from the Taiwan stock market

Hsu, Ching-Chi; Wei, An-Pin; Chen, Miao-Ling - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-23

Persistent link: https://www.econbiz.de/10012665989

Oil prices and economic activity in BRICS and G7 countries

Kilic, Erdem; Çankaya, Serkan - In: Central European journal of operations research 28 (2020) 4, pp. 1315-1342

Persistent link: https://www.econbiz.de/10012308245