The potential for stock market growth in Asian Pacific countries has attracted foreign investors. However, higher growth rates come with higher risk. We apply value at risk (VaR) analysis to measure and analyze stock market index risks in Asian Pacific countries, exposing and detailing both the...

A Markov switching common factor is used to drive a dynamic factor model for important macroeconomic variables in eight countries. Bayesian estimation of the model is based on Markov chain Monte Carlo simulation methods which yield inferences about the unobservable path of the common factor, the...