Search Results - subject:"Markov-switching method"

Re-examining oil price-stock market returns nexus in Nigeria using a two-stage Markov regime switching approach

Raifu, Isiaka Akande; Oshota, Sebil Olalekan - In: International journal of energy sector management 17 (2023) 3, pp. 489-509

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014317791

Regime-switching in volatility and correlation structure using range-based models with Markov-switching

Miao, Daniel Wei-Chung; Wu, Chun-Chou; Su, Yi-Kai - In: Economic Modelling 31 (2013) C, pp. 87-93

This study examines latent shifts in the conditional volatility and correlation for the U.S. stock and T-bond data using the two-state Markov-switching range-based volatility and correlation models. This paper comes up with clear evidence of volatility regime-switching in stock indices and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010636268

Regime-switching in volatility and correlation structure using range-based models with Markov-switching

Miao, Daniel Wei-Chung; Wu, Chun-chou; Su, Yi Kai - In: Economic modelling 31 (2013), pp. 87-93

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009725779