Search Results - subject:"Markov Switching Regression"

Exchange rate volatility, stock prices and returns in BRICS : the moderating effect of inflation with wavelength analysis

Umoru, David; Igbinovia, Beauty; Odegha, Benjamin - 2025

This study aimed to evaluate the conditional effect of exchange rate volatility on stock prices and returns in the emerging markets of BRICS nations. Using daily data from 1 January 2000 to 30 December 2023, wavelet and quantile analysis were conducted. The Markov-regime model was estimated for...

Persistent link: https://www.econbiz.de/10015402817

Exchange rate volatility, stock prices and returns in BRICS: The moderating effect of inflation with wavelength analysis

Umoru, David; Igbinovia, Beauty; Odegha, Benjamin - In: Economic Forum 15 (2025) 1, pp. 38-57

Persistent link: https://www.econbiz.de/10015408469

Conditional macroeconomic and stock market volatility under regime switching : empirical evidence from Africa

Agyemang-Badu, Albert A.; Gallardo Olmedo, Fernando; … - In: Quantitative finance and economics 8 (2024) 2, pp. 255-285

Persistent link: https://www.econbiz.de/10015132814

Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes

Rezitis, Anthony N.; Andrikopoulos, Panagiotis; Daglis, … - In: The journal of futures markets 44 (2024) 3, pp. 451-483

Persistent link: https://www.econbiz.de/10014475504

India 100 and the Significance of Top Six States

Shanmugam, K. R.; Odasseril, Mathew Koshy - 2024

Persistent link: https://www.econbiz.de/10015083559

The nonlinear nexus of climate policy uncertainty and renewable energy consumption in the United States of America : a Markov-Switching approach

Setiastuti, Sekar Utami; Rajendra, Mohammad Arief - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 5, pp. 321-334

Persistent link: https://www.econbiz.de/10015116719

Is the tracking error time-varying? : evidence from agricultural ETCs

Perera, Devmali; Białkowski, Je̜drzej; Bohl, Martin T. - 2022

Persistent link: https://www.econbiz.de/10013545737

The Relationship between Inflation Targeting and Exchange Rate Pass-Through in Turkey with a Model Averaging Approach

Arslaner, Ferhat; Karaman, Dogan; Arslaner, Nuran; Kal, … - Türkiye Cumhuriyet Merkez Bankası - 2014

point is that according to Markov switching regression results of ERPT coefficients of domestic prices, the exchange rate … switching regression methods; the determinants of ERPT to producer and consumer prices are quantitatively analyzed between … between exchange rates and inflation differentials, single equation regressions, vector auto-regressions (VAR) and Markov …

Persistent link: https://www.econbiz.de/10010941509

The Empirics of Banking Regulation

Tchana, Fulbert Tchana - Economic Research Southern Africa (ERSA) - 2009

This paper empirically assesses whether banking regulation is effective at preventing banking crises. We use a monthly index of banking system fragility, which captures almost every source of risk in the banking system, to estimate the effect of regulatory measures (entry restriction, reserve...

Persistent link: https://www.econbiz.de/10008563293

The Empirics of Banking Regulation

TCHANA TCHANA, Fulbert - Volkswirtschaftliche Fakultät, … - 2008

This paper assesses empirically whether banking regulation is effective at preventing banking crises. We use a monthly index of banking system fragility, which captures almost every source of risk in the banking system, to estimate the effect of regulatory measures (entry restriction, reserve...

Persistent link: https://www.econbiz.de/10005616941