Search Results - subject:"Regime Switching Model"

The optimal cyclical design for a target benefit pension plan

Lv, Chen; Li, Danping; Wang, Yumin; Zhu, Xiaobai - In: Journal of pension economics and finance : JPEF 22 (2023) 3, pp. 284-303

Persistent link: https://www.econbiz.de/10014306203

COVID-19 and stock returns : evidence from the Markov switching dependence approach

Bouteska, Ahmed; Sharif, Taimur; Abedin, Mohammad Zoynul - In: Research in international business and finance 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014279046

Asymptotic properties of the maximum likelihood estimator in regime-switching models with time-varying transition probabilities

Li, Chaojun; Liu, Yan - In: The econometrics journal 26 (2023) 1, pp. 67-87

Persistent link: https://www.econbiz.de/10013543277

Interest rate pegs and the reversal puzzle: On the role of anticipation

Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel - 2020

We revisit the reversal puzzle: A counterintuitive contraction of inflation in response to an interest rate peg. We show that it is intimately related to the degree of agents' anticipation. If agents perfectly anticipate the peg, reversals occur depending on the duration of the peg. If they do...

Persistent link: https://www.econbiz.de/10012287271

Fund performance during recessions and expansions in Korea

Cheong, Mun-Kyung; Kim, Yong-Hyeon; Chung, Jellna - In: Global Business & Finance Review (GBFR) 25 (2020) 3, pp. 60-74

of the national pension fund using the regime-switching model in the Korean market. …

Persistent link: https://www.econbiz.de/10013185562

The dynamics of the S&P 500 under a crisis context: Insights from a three-regime switching model

Cerboni Baiardi, Lorenzo; Costabile, Massimo; de … - In: Risks 8 (2020) 3, pp. 1-15

. In particular, we fit a three-regime switching model that allows market parameters to behave differently during economic …

Persistent link: https://www.econbiz.de/10013200604

Financial development - economic growth nexus in Pakistan: New evidence from the Markov switching model

Rahman, Abdul; Khan, Muhammad Arshad; Charfeddine, Lanouar - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-15

This paper investigates the impact of financial development on economic growth in Pakistan using the Markov Switching Model over the period 1980-2017. The results based on two-state Markov switching model confirm the Schumpeter's view that finance spurs growth. The result reveals that financial...

Persistent link: https://www.econbiz.de/10012657560

Financial development - economic growth nexus in Pakistan : new evidence from the Markov switching model

Rahman, Abdul; Khan, Muhammad Arshad; Charfeddine, Lanouar - In: Cogent economics & finance 8 (2020) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10012219668

Interest rate pegs and the reversal puzzle : on the role of anticipation

Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel - 2020

Persistent link: https://www.econbiz.de/10012272030

Fund performance during recessions and expansions in Korea

Cheong, Mun-Kyung; Kim, Yong-Hyeon; Chung, Jellna - In: Global business and finance review 25 (2020) 3, pp. 60-74

of the national pension fund using the regime-switching model in the Korean market. …

Persistent link: https://www.econbiz.de/10012421392