Search Results - subject:"Markov Switching Models"

Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand

Yang, Lu; Hamori, Shigeyuki - In: Pacific-Basin Finance Journal 26 (2014) C, pp. 145-155

Markov-switching models. Based on univariate Markov-switching models, we confirm the existence of two distinct regimes for … both US monetary policy and the stock markets. By applying multivariate Markov-switching models, we find that US interest …

Persistent link: https://www.econbiz.de/10010753129

Asset pricing and the role of macroeconomic volatility

D'Addona, Stefano; Giannikos, Christos - In: Annals of finance 10 (2014) 2, pp. 197-215

Persistent link: https://www.econbiz.de/10010350379

Forecasting market turbulence using regime-switching models

Hauptmann, Johannes; Hoppenkamps, Anja; Min, Aleksey; … - In: Financial markets and portfolio management 28 (2014) 2, pp. 139-164

Persistent link: https://www.econbiz.de/10010358884

Policy rules, regime switches, and trend inflation : an empirical investigation for the United States

Castelnuovo, Efrem; Greco, Luciano; Raggi, Davide - In: Macroeconomic dynamics 18 (2014) 4, pp. 920-942

Persistent link: https://www.econbiz.de/10010467417

Spillover effect of US monetary policy to ASEAN stock markets : evidence from Indonesia, Singapore, and Thailand

Yang, Lu; Hamori, Shigeyuki - In: Pacific-Basin finance journal 26 (2014), pp. 145-155

Persistent link: https://www.econbiz.de/10010498752

Inflation and market uncertainty in South Africa

Burger, Philippe - In: The South African journal of economics 82 (2014) 4, pp. 583-602

Persistent link: https://www.econbiz.de/10010502123

Cyclical dynamics of the Turkish economy and the stock market

Senyuz, Zeynep; Yoldas, Emre; Baycan, Ismail Onur - In: International economic journal 28 (2014) 3, pp. 405-423

Persistent link: https://www.econbiz.de/10010503505

The switching relationship between natural gas and crude oil prices

Brigida, Matthew - In: Energy economics 43 (2014), pp. 48-55

Persistent link: https://www.econbiz.de/10010504181

The number of regimes across asset returns : identification and economic value

Gatumel, Mathieu; Ielpo, Florian - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-25

Persistent link: https://www.econbiz.de/10010438505

A Markov switching model of the merit order to compare British and German price formation

Zachmann, Georg - 2007

The objective of this paper is to develop a model to determine the price formation of wholesale electricity markets. For that purpose, we model wholesale electricity prices depending on the prices of fuels (coal and natural gas) and of CO2 emission allowances using a Markov Switching Regression....

Persistent link: https://www.econbiz.de/10010264963