Search Results - subject:"Switching Models"

Constrained portfolio strategies in a regime-switching economy

Lewin, Marcelo; Campani, Carlos Heitor - In: Financial markets and portfolio management 37 (2023) 1, pp. 27-59

Persistent link: https://www.econbiz.de/10014252601

Financial stress and commodity price volatility

Chen, Louisa; Verousis, Thanos; Wang, Kai; Zhou, Zhiping - In: Energy economics 125 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014485240

Keeping track of global trade in real time

Martínez-Martín, Jaime; Rusticelli, Elena - 2020

Este artículo desarrolla un indicador novedoso del ciclo de comercio mundial (WTI) mediante un modelo de factores dinámicos, con el objetivo de predecir el crecimiento del comercio mundial de bienes y servicios (generalmente, obviados) en el corto plazo. La selección de indicadores de...

Persistent link: https://www.econbiz.de/10012524962

The fiscal state-dependent effects of capital income tax cuts

Fotiou, Alexandra; Shen, Wenyi; Yang, Shu-Chun S. - 2020

Using the post-WWII data of U.S. federal corporate income tax changes, within a Smooth Transition VAR, this paper finds that the output effect of capital income tax cuts is government debt-dependent: it is less expansionary when debt is high than when it is low. To explore the mechanisms that...

Persistent link: https://www.econbiz.de/10012251390

Nonlinear common trends for the global crude oil market : Markov-switching score-driven models of the multivariate t-distribution

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020

Persistent link: https://www.econbiz.de/10012221928

Keeping track of global trade in real time

Martínez-Martín, Jaime; Rusticelli, Elena - 2020

Persistent link: https://www.econbiz.de/10012491244

Are unconventional monetary policies a priced risk factor for hedge fund strategies?

Guidolin, Massimo; Orlov, Alexei G. - 2020

Persistent link: https://www.econbiz.de/10012495255

Is the sharing economy causing a regime switch in consumption?

Fahmy, Hany - In: Journal of Applied Economics 23 (2020) 1, pp. 281-298

The recent rise of digital technology has enabled the development of various online platforms that gave rise to the so-called sharing economy. Academics suggest that this economy is causing a switch in consumer behaviour. This paper attempts to test this hypothesis by fitting a smooth transition...

Persistent link: https://www.econbiz.de/10015334297

Is the sharing economy causing a regime switch in consumption?

Fahmy, Hany - 2020

Persistent link: https://www.econbiz.de/10012257107

Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach

Mumtaz, Muhammad Zubair; Smith, Zachary Alexander - In: Estudios de Economía 46 (2019) 1, pp. 89-124

Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes … for both US monetary policy and the stock markets. We find mixed results when applying the multivariate Markov-switching … models. The results report a positive relationship between the US interest rate and developed stock markets except for the …

Persistent link: https://www.econbiz.de/10014486133