Search Results - subject:"Markov Regime Switching Model"

The effect of economic policy uncertainty index on the Indian economy in the wake of COVID-19 pandemic

Ghosh, Raktim; Bagchi, Bhaskar; Chatterjee, Susmita - In: Journal of Economic and Administrative Sciences 40 (2022) 3, pp. 591-604

volatility of selected variables over the study period across a multivariate framework and Markov regime-switching model to … COVID-19. The results of Markov regime-switching model show the variables make a significant move from low-volatility regime … regime switching model makes the study an innovative one in terms of methodology and findings. …

Persistent link: https://www.econbiz.de/10015349676

Asymmetric effects on risks of Virtual Financial Assets (VFAs) in different regimes : a case of Bitcoin

Li, Zhenghui; Dong, Hao; Huang, Zhehao; Failler, Pierre - In: Quantitative finance and economics 2 (2018) 4, pp. 860-883

Persistent link: https://www.econbiz.de/10012176121

Dynamic commodity portfolio management : a regime-switching VAR model

Singhal, Shelly; Biswal, Pratap Chandra - In: Global business review 22 (2021) 2, pp. 532-549

Persistent link: https://www.econbiz.de/10012520247

The nonlinear effect of oil price shocks on financial stress : evidence from China

Liu, Renren; Chen, Jianzhong; Wen, Fenghua - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012667999

Weathering financial crisis in China : the role of global market integration

Vikkram Singh; Roca, Eduardo - In: Applied economics 53 (2021) 15, pp. 1756-1776

Persistent link: https://www.econbiz.de/10012485291

Strength of words : Donald Trump's tweets, sanctions and Russia's ruble

Afanasyev, Dmitriy O.; Fedorova, Elena; Ledyaeva, Svetlana - In: Journal of economic behavior & organization : JEBO 184 (2021), pp. 253-277

Persistent link: https://www.econbiz.de/10012600853

Regime-switching herd behavior : novel evidence from the Chinese A-share market

Fu, Jingxue; Wu, Lan - In: Finance research letters 39 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012805479

Regime nonstationarity and nonlinearity in the Turkish output level

Kandemir Kocaaslan, Ozge - In: International journal of economics and financial issues … 6 (2016) 2, pp. 503-507

Persistent link: https://www.econbiz.de/10011697035

A quantitative case for leaning against the wind

Filardo, Andrew J.; Phurichai Rungcharoenkitkul - 2016

Persistent link: https://www.econbiz.de/10011609891

Hedge fund return higher moments over the business cycle

Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97

Persistent link: https://www.econbiz.de/10012198849