Search Results - subject:"Markov Switching Models"

Forecasting turbulence in the Asian and European stock market using regime-switching models

Engel, Janina; Wahl, Markus; Zagst, Rudi - In: Quantitative finance and economics 2 (2018) 2, pp. 388-406

Persistent link: https://www.econbiz.de/10012156674

Taylor rules and liquidity in financial markets

Franceschi, Emanuele - In: Revue économique : revue bimestrielle 72 (2021) 1, pp. 103-134

Persistent link: https://www.econbiz.de/10012607022

Fiscal regimes and fiscal sustainability in Sri Lanka

Chua, Chew Lian; Perera, Nelson; Suardi, Sandy - In: Applied economics 53 (2021) 21, pp. 2384-2397

Persistent link: https://www.econbiz.de/10012501241

Fourth moment structure of markov switching multivariate GARCH models

Cavicchioli, Maddalena - In: Journal of financial econometrics 19 (2021) 4, pp. 565-582

Persistent link: https://www.econbiz.de/10012654989

The dire effects of the lack of monetary and fiscal coordination

Bianchi, Francesco; Melosi, Leonardo - 2017

What happens if the government's willingness to stabilize a large stock of debt is waning, while the central bank is adamant about preventing a rise in inflation? The large fiscal imbalance brings about inflationary pressures, triggering a monetary tightening, further debt accumulation, and...

Persistent link: https://www.econbiz.de/10012030336

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Lütkepohl, Helmut; Woźniak, Tomasz - 2017

In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over-identifying restrictions can be tested with...

Persistent link: https://www.econbiz.de/10011776508