Search Results - subject:"Markov switching regression"

Investor's herding behavior in Asian equity markets during COVID-19 period

Jiang, Rui; Wen, Conghua; Zhang, Ruonan; Cui, Yu - In: Pacific-Basin finance journal 73 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013388982

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

Perera, Devmali; Białkowski, Je̜drzej; Bohl, Martin T. - In: Research in international business and finance 63 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10014248930

Speculative trading and its effect on the forward premium puzzle : new evidence from Japanese yen market

Czech, Katarzyna - In: Bank i kredyt 51 (2020) 2, pp. 167-187

Persistent link: https://www.econbiz.de/10012262268

Revisiting the exchange rate pass-through to domestic inflation in Egypt : why is the Statistical Association weak in the short-run?

Awad, Ibrahim L. - In: International journal of business and economics 18 (2019) 1, pp. 59-78

Persistent link: https://www.econbiz.de/10012231687

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 impact of investor sentiment on commercial real estate market liquidity

Freybote, Julia; Seagraves, Philip - In: The journal of real estate research 40 (2018) 4, pp. 597-627

Persistent link: https://www.econbiz.de/10011976178

Volatility spillover effect with time-varying parameters between Bist100 and dow-jones under different regimes

Erer, Elif; Erer, Deniz - In: The empirical economics letters : a monthly … 17 (2018) 3, pp. 339-348

Persistent link: https://www.econbiz.de/10011912990

Short-horizon event study estimation with a STAR model and real contaminated events

Andreou, Panayiotis C.; Louca, Christodoulos; Savva, … - In: Review of quantitative finance and accounting 47 (2016) 3, pp. 673-697

Persistent link: https://www.econbiz.de/10011595698

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