Search Results - subject:"Regime Switching Model"

Hedge fund return higher moments over the business cycle

Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97

Persistent link: https://www.econbiz.de/10012198849

Exit expectations and debt crises in currency unions

Kriwoluzky, Alexander; Müller, Gernot J.; Wolf, Martin - In: Journal of international economics 121 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012296569

Carry trades and endogenous regime switches in exchange rate volatility

Cho, Dooyeon; Han, Heejoon; Lee, Na Kyeong - In: Journal of international financial markets, … 58 (2019), pp. 255-268

Persistent link: https://www.econbiz.de/10012127854

Time-varying energy and stock market integration in Asia

Batten, Jonathan A.; Kinateder, Harald; Szilágyi, Péter G. - In: Energy economics 80 (2019), pp. 777-792

Persistent link: https://www.econbiz.de/10012173727

The relationship between price stability and financial stability : evidence from major emerging economies

Kirci C̦evik, Nüket; Yurtkur, Asuman Koç; Dibooglu, Sel - In: Global economic review 48 (2019) 1, pp. 25-45

Persistent link: https://www.econbiz.de/10012177299

Pricing S&P500 barrier put option of American type under Heston-CIR model with regime-switching

Mehrdoust, Farshid; Noorani, Idin - In: International journal of financial engineering 6 (2019) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10012167493

State-dependent size and value premium : evidence from a regime-switching asset pricing model

Li, Bingxin; Piqueira, Natalia - In: The journal of asset management 20 (2019) 3, pp. 229-249

Persistent link: https://www.econbiz.de/10012059806

Cash Holdings and Finance Constraints in Indian Manufacturing Firms

Gautam, Vikash; Singh, Ashish; Gaurav, Sarthak - In: Research in Applied Economics 6 (2014) 3, pp. 56-75

flows to real and financial components. We employ endogenous regime switching model for our empirical exercise. This model …

Persistent link: https://www.econbiz.de/10010938757

Comprehensive Crisis Indicator for Russia

Fedorova, E.; Afanasev, D. - In: Journal of the New Economic Association 23 (2014) 3, pp. 38-59

In this paper the study was conducted on the identification of fundamental financial and economic indicators significant for predicting crises and on the development of a comprehensive crisis prognostic indicator for the Russian economy, using econometric modeling of the exchange market pressure...

Persistent link: https://www.econbiz.de/10010943330

Responses of international stock markets to oil price surges: a regimeswitching perspective

Jammazi, Rania; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014

We propose an enhanced regime-switching model to investigate the relationships between oil price surges and stock …

Persistent link: https://www.econbiz.de/10010754748