Search Results - subject:"Markov‐switching model"

Banking crises and nonlinear linkages between credit and output

Serwa, Dobromil - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2008

The paper employs a recently developed procedure, based on a bivariate Markov switching model, to analyze the …

Persistent link: https://www.econbiz.de/10004988583

Wheat market integration between Hungary and Germany

Bakucs, Lajos Zoltan; Brümmer, Bernhard; von … - European Association of Agricultural Economists - EAAE - 2008

, a flexible Markov- Switching model for price transmission is proposed and estimated for the analysis of price …

Persistent link: https://www.econbiz.de/10005330119

Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model

Nasr, Adnen Ben; Balcilar, Mehmet; Ajmi, Ahdi N.; Aye, … - Department of Economics, Faculty of Economic and … - 2014

This study investigates the asymmetric and time-varying causality between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. The MS-VAR model is capable of determining both the sign and direction of...

Persistent link: https://www.econbiz.de/10011125860

Can Markov switching model generate long memory?

Baek, Changryong; Fortuna, Natércia; Pipiras, Vladas - In: Economics Letters 124 (2014) 1, pp. 117-121

In an influential work by Diebold and Inoue (2001), the Markov switching model was shown to exhibit long memory, in … terms of the behavior of the second moments of partial sums. The relationship between the Markov switching model and long … the data generated by the Markov switching model. An explanation for these findings is provided. …

Persistent link: https://www.econbiz.de/10010784971

Real dividend - stock market price causality nexus: an application of Markov switching model

Anoruo, Emmanuel - In: Afro-Asian Journal of Finance and Accounting 4 (2014) 1, pp. 63-74

This paper examines the causal relationship between real dividends and stock market prices for the USA using the Markov-switching vector autoregressive model (MS-VAR). The results indicate that both real dividends and stock market prices have one order of integration and are not cointegrated....

Persistent link: https://www.econbiz.de/10010756271

Can CDS indexes signal future turmoils in the stock market? : a Markov switching perspective

Castellano, Rosella; Scaccia, Luisa - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 285-305

Persistent link: https://www.econbiz.de/10010356926

Testing Markov switching models

Huang, Yu-lieh - In: Applied economics 46 (2014) 16/18, pp. 2047-2051

Persistent link: https://www.econbiz.de/10010413344

Identify regimes in post-war US GDP growth

Jiang, Yu; Fang, Xianming - In: Applied economics letters 21 (2014) 4/6, pp. 397-401

Persistent link: https://www.econbiz.de/10010413712

A study of nonlinear relationships between world oil price and Malaysian stock price

Mohd Tahir Ismail; Zaidi Isa - In: Journal of international economic review 7 (2014) 1, pp. 63-76

Persistent link: https://www.econbiz.de/10010422082

Optimal test for Markov switching parameters

Carrasco, Marine; Hu, Liang; Ploberger, Werner - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 2, pp. 765-784

Persistent link: https://www.econbiz.de/10010404431