Search Results - subject:"Markov switching autoregressive"

On testing for bubbles during hyperinflations

Morita, Rubens; Psaradakis, Zacharias G.; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10014506885

Performance of negatively screened sustainable investments during crisis

Lin, Xiang; Swain, Ranjula Bali - In: International review of economics & finance : IREF 93 (2024) 1, pp. 1226-1247

Persistent link: https://www.econbiz.de/10014535456

Dynamic relation of Chinese stock price-volume pre- and post- the Split Share Structure Reform : New evidence from a two-state Markov-switching approach

Wang, Dong-Hua; Qing, Nan; Lei, Man; Chang, Xiaohui - In: China Finance Review International 5 (2015) 4, pp. 386-401

Structure Reform using Shanghai Composite Index daily data from July 1994 to April 2013. Using a two-state Markov-switching … and also examine the existence of regime-dependent Granger causality. Findings – Using a two-state Markov-switching … autoregressive model and a modified two-state Markov-switching vector autoregression model, this study identifies bull or bear market …

Persistent link: https://www.econbiz.de/10014694529

Dynamic relation of Chinese stock price-volume pre- and post- the Split Share Structure Reform : new evidence from a two-state Markov-switching approach

Wang, Dong-Hua; Qing, Nan; Lei, Man; Chang, Xiaohui - In: China finance review international 5 (2015) 4, pp. 386-401

Persistent link: https://www.econbiz.de/10011391763

Which Econometric Specification to Characterize the U.S. Inflation Rate Process?

Boutahar, Mohamed; Gbaguidi, David - In: Computational Economics 34 (2009) 2, pp. 145-172

Persistent link: https://www.econbiz.de/10004976807

Testing for linearity in Markov switching models: a bootstrap approach

Sanzo, Silvestro Di - In: Statistical Methods and Applications 18 (2009) 2, pp. 153-168

Persistent link: https://www.econbiz.de/10004995412

Real Exchange Rates and Switching Regimes

Bergman, U. Michael; Hansson, Jesper - 2000

We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...

Persistent link: https://www.econbiz.de/10013208399

Real Exchange Rates and Switching Regimes

Bergman, U. Michael; Hansson, Jesper - Nationalekonomiska Institutionen, Ekonomihögskolan - 1999

Persistent link: https://www.econbiz.de/10005206993