ÇEVIK, Emrah Ismail; ÇEVIK, Nuket Kirci; GURKAN, Serhan - In: Journal of BRSA Banking and Financial Markets 6 (2012) 1, pp. 133-155
In this study, the presence of dynamic relations among stock markets of the US, Germany and Turkey is examined by means of Markov regime switching-Vector Autoregressive (MS-VAR) model. Empirical results suggest that the MS-VAR model provides a better characterization of relation among stock...
