Search Results - subject:"Markov Switching Model"

Oil prices and economic activity in BRICS and G7 countries

Kilic, Erdem; Çankaya, Serkan - In: Central European journal of operations research 28 (2020) 4, pp. 1315-1342

Persistent link: https://www.econbiz.de/10012308245

Iron ore price and the AUD exchange rate : a Markov approach

Gomwe, Clemence; Li, Ying - In: Journal of international trade & economic development : … 29 (2020) 2, pp. 147-162

Persistent link: https://www.econbiz.de/10012203686

Identification of business cycles and the Great Moderation in the post-war U.S. economy

Jiang, Yu - In: Economics letters 190 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012228144

Price discovery in the markets for credit risk: A Markov switching approach

Dimpfl, Thomas Ernst Herbert; Peter, Franziska Julia - 2015

We examine price discovery in the Credit Default Swap and corporate bond market. By using a Markov switching framework we are able to analyze the dynamic behavior of the information shares during tranquil and crisis periods. The results show that price discovery takes place mostly on the CDS...

Persistent link: https://www.econbiz.de/10011380703

Modeling the exchange rate using price levels and country risk

Regõs, Gábor - In: Cogent Economics & Finance 3 (2015) 1, pp. 1-10

This paper builds two factor discrete time models in order to investigate the effect of sovereign risk on the nominal exchange rates in a Markov switching framework. The empirical section of the paper uses seven currencies from Chile, the Czech Republic, Hungary, Iceland, Japan, Korea, and...

Persistent link: https://www.econbiz.de/10011559167