Search Results - subject:"Markov Regime Switching Model"

Asymmetric reactions of China's stock market to short-term interest rates

Fang, Fang; Dong, Weijia; Lv, Xin - In: International journal of economics and finance 8 (2016) 5, pp. 260-270

Persistent link: https://www.econbiz.de/10011487610

Risk-return relationship in BRIC equity markets : evidence from Markov regime switching model with time-varying transition probabilities

Amanjot Singh; Singh, Manjit - In: Metamorphosis : a journal of management research 15 (2016) 2, pp. 69-78

Persistent link: https://www.econbiz.de/10011667399

A study on the rationality of expensing of Taiwan employee stock bonuses

Lee, Kuo-Jung; Huang, Jen-tsung; Wu, Mei-chun - In: Managerial finance 42 (2016) 12, pp. 1159-1170

Persistent link: https://www.econbiz.de/10011572935

Regime-switching purchasing power parity in Latin America : Monte Carlo unit root tests with dynamic conditional score

Ayala, Astrid; Blazsek, Szabolcs; Cuñado Eizaguirre, Juncal - In: Applied economics 48 (2016) 28/30, pp. 2675-2696

Persistent link: https://www.econbiz.de/10011594383

Empirical analysis of stock indices under a regime-switching model with dependent jump size risks

Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275

Persistent link: https://www.econbiz.de/10011642172

A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns

Göncü, Ahmet; Karahan, Mehmet Oğuz; Kuzubaş, Tolga Umut - In: The North American journal of economics and finance : a … 36 (2016), pp. 69-83

Persistent link: https://www.econbiz.de/10011672611

Modeling electricity spot prices: Regime switching models with price-capped spike distributions

Janczura, Joanna; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2010

We calibrate Markov regime-switching (MRS) models to spot (log-)prices from two major power markets. We show that while the price-capped (or truncated) spike distributions do not give any advantage over the standard specification in case of moderately spiky markets (such as NEPOOL), they improve...

Persistent link: https://www.econbiz.de/10008574282

Structural Vector Autoregressions with Markov Switching

Lanne, Markku; Luetkepohl, Helmut; Maciejowska, Katarzyna - Department of Economics, European University Institute - 2009

It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. The model setup is formulated and discussed and it is shown how it can be used to...

Persistent link: https://www.econbiz.de/10005697711

A Conjecture of Chinese Monetary Policy Rule: Evidence from Survey Data, Markov Regime Switching, and Drifting Coefficients

Chen, Yanbin; Huo, Zhen - In: Annals of Economics and Finance 10 (2009) 1, pp. 111-153

regime switching model, the TVP model and the split sample OLS estimation are employed to estimate the changing coefficients … develop survey data to measure the expected inflation and use the real marginal cost as a proxy for the output gap. The Markov …

Persistent link: https://www.econbiz.de/10009207416

Interpreting the crude oil price movements: Evidence from the Markov regime switching model

Zhang, Yue-Jun; Zhang, Lu - In: Applied Energy 143 (2015) C, pp. 96-109

abnormal price spreads between them have been identified. Under this circumstance, this paper employs the Markov regime … switching model with dynamic autoregressive coefficients to explore the price regimes of Brent and WTI after the financial …

Persistent link: https://www.econbiz.de/10011208369