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 - In: Economic forum 15 (2025) 1, pp. 38-57

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

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

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

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

India 100 and the Significance of Top Six States

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

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

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

Modelling macroeconomic trilemma and central bank behaviour in Nigeria : a Markov-switching approach

Ayinde, Taofeek Olusola - In: Economic change & restructuring 55 (2022) 3, pp. 1303-1325

Persistent link: https://www.econbiz.de/10013429389

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

Regime-switching effect of COVID-19 pandemic on stock market index : evidence from Turkey as an emerging market example

Kartal, Mustafa Tevfik; Ayhan, Fatih; Kirikkaleli, Dervis - In: Macroeconomics and finance in emerging market economies 17 (2024) 1, pp. 189-206

Persistent link: https://www.econbiz.de/10014511855

Dynamic spillover analysis of international and Turkish food prices

Ertuğrul, Hasan Murat; Seven, Ünal - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 1918-1928

Persistent link: https://www.econbiz.de/10014253462