Search Results - subject:"Markov regime-switching models"

Bubbles and dependence between international equity markets

Ye, Wuyi; Gao, Lingbo; Liu, Xiaoquan - In: Quantitative finance 24 (2024) 1, pp. 119-138

Persistent link: https://www.econbiz.de/10014551948

Tradable and nontradable inflation in Turkey : predicting different states with Markov regime-switching approach

Saygılı, Hülya; Türkvatan, Aysun - 2021

Persistent link: https://www.econbiz.de/10013165403

Tradable and non-tradable inflation in Turkey : asymmetric responses to global factors

Saygılı, Hülya; Türkvatan, Aysun - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 973-1006

Persistent link: https://www.econbiz.de/10014329096

Nonlinear common trends for the global crude oil market : Markov-switching score-driven models of the multivariate t-distribution

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020

Persistent link: https://www.econbiz.de/10012221928

Integrating solvency and liquidity stress tests : the use of Markov regime-switching models

Han, Fei; Leika, Mindaugas - 2019

conditions in the market. To account for variations in market liquidity, the study uses Markov regime-switching models and links …

Persistent link: https://www.econbiz.de/10012154762

Markov-switching score-driven multivariate models : outlier-robust measurement of the relationships between world crude oil production and US industrial production

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2019

Persistent link: https://www.econbiz.de/10012158760

Multivariate Markov-switching score-driven models : an application to the global crude oil market

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 313-335

Persistent link: https://www.econbiz.de/10013334746

Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model

Gao, Lingbo; Ye, Wuyi; Guo, Ranran - In: Finance research letters 48 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013459321

Does Energy Consumption Volatility Affect Real GDP Volatility? An Empirical Analysis for the UK

Rashid, Abdul; Kocaaslan, Ozge Kandemir - Volkswirtschaftliche Fakultät, … - 2013

This paper empirically examines the relation between energy consumption volatility and unpredictable variations in real gross domestic product (GDP) in the UK. Estimating the Markov switching ARCH model we find a significant regime switching in the behavior of both energy consumption and GDP...

Persistent link: https://www.econbiz.de/10011110308

Does Energy Consumption Volatility Affect Real GDP Volatility? An Empirical Analysis for the UK

Rashid, Abdul; Kocaaslan, Ozge Kandemir - In: International Journal of Energy Economics and Policy 3 (2013) 4, pp. 384-384

Persistent link: https://www.econbiz.de/10010701189