Search Results - subject:"Markov-Regime Switching Model"

Assessing the regime-switching role of risk mitigation measures on agricultural vulnerability : a threshold analysis

Wen, Xiaojie; Mennig, Philipp; Sauer, Johannes - In: Ecological economics 227 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015175513

Resilience or returns : assessing green equity index performance across market regimes

An Thi Thuy Duong - In: International review of economics & finance : IREF 97 (2025), pp. 1-21

Persistent link: https://www.econbiz.de/10015327258

Bond indices maturities and changing macroeconomic conditions : evidence from South Africa

Moodley, Fabian - In: Journal of Economics and Financial Analysis 8 (2024) 1, pp. 57-73

Persistent link: https://www.econbiz.de/10014486924

Macroeconomic determinants of the JSE size-base industries connectedness : evidence from changing market conditions

Lawrence, Babatunde; Moodley, Fabian; Ferreira-Schenk, Sune - In: Cogent economics & finance 12 (2024) 1, pp. 1-15

to examine the time-varying connectedness and using the Markov regime-switching model to determine the drivers of the …

Persistent link: https://www.econbiz.de/10015337815

Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model

Wu, Hanlin; Li, Pan; Cao, Jiawei; Xu, Zijian - In: Energy economics 134 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015047129

Direct and indirect impacts of oil price shocks on Ecuador's economic cycles (2000:01-2020:01)

Martín Mayoral, Fernando; Carvajal, Alexander - In: Estudios de Economía 50 (2023) 2, pp. 379-412

We analyse the non-linear relationship between oil price shocks and the real business cycle in Ecuador, a dollarized economy where oil exports are the country's main source of foreign exchange. We estimate several autoregressive Markov switching models for the period 2000:01-2020:01 to identify...

Persistent link: https://www.econbiz.de/10014486055