Search Results - subject:"Markov‐switching model"

Financial market behavior and the cost of credit : theories and empirical validations

Ouertani, Nadia Abaoub; Ghabara, Hela - In: The equal pillars of sustainability, (pp. 61-83). 2022

Persistent link: https://www.econbiz.de/10013284066

ASEAN-5 forex rates and crude oil : Markov regime-switching analysis

Mukhriz Izraf Azman Aziz; Umar, Zaghum; Gubareva, Mariya; … - In: Applied economics 54 (2022) 54, pp. 6234-6253

Persistent link: https://www.econbiz.de/10013411364

Effects of diamond price volatility on stock returns : evidence from a developing economy

Brou, Jean Marcelin Bosson; Mougoué, Mbodja; Kouassi, … - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1025-1043

Persistent link: https://www.econbiz.de/10012814972

Maximum likelihood estimation in Markov regime-switching models with covariate-dependent transition probabilities

Pouzo, Demian; Psaradakis, Zacharias G.; Sola, Martin - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 4, pp. 1681-1710

Persistent link: https://www.econbiz.de/10013382399

The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?

Li, Leon; Scrimgeour, Frank - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497

Persistent link: https://www.econbiz.de/10013334844

Do fiscal regimes matter for fiscal sustainability in South Africa? : a Markov-Switching approach

Woldu, Gabriel Temesgen - In: Applied economics quarterly 68 (2022) 1, pp. 53-78

Persistent link: https://www.econbiz.de/10014324905

The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk

Li, Leon - In: Energy economics 105 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10013201954

The impact of ECB’s unconventional monetary policy on the German Stock Market volatility

Alipanah, Sabri; Kiss, Gábor Dávid - In: Zagreb international review of economics & business 25 (2022), pp. 17-29

Persistent link: https://www.econbiz.de/10014228125

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics 6 (2018) 3, pp. 1-14

We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used...

Persistent link: https://www.econbiz.de/10011995225

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - 2018

We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional)...

Persistent link: https://www.econbiz.de/10011813849