We analyse the non-linear relationship between oil price shocks and the real business cycle in Ecuador, a dollarized economy where oil exports are the country's main source of foreign exchange. We estimate several autoregressive Markov switching models for the period 2000:01-2020:01 to identify...

We analyse the non-linear relationship between oil price shocks and the real business cycle in Ecuador, a dollarized economy where oil exports are the country's main source of foreign exchange. We estimate several autoregressive Markov switching models for the period 2000:01-2020:01 to identify...

This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) to accommodate fat tails, volatility...