Search Results - subject:"Switching Models"

Financial conditions and macroeconomic downside risks in the euro area

Lhuissier, Stéphane - In: European economic review : EER 143 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013348723

Multivariate Markov-switching score-driven models : an application to the global crude oil market

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 313-335

Persistent link: https://www.econbiz.de/10013334746

Nonlinear examination of the "heat wave" and "meteor shower" effects between spot and futures markets of the precious metals

Živkov, Dejan; Manić, Slavica; Pavkov, Ivan - In: Empirical economics : a quarterly journal of the … 63 (2022) 2, pp. 1109-1134

Persistent link: https://www.econbiz.de/10013440356

Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models

Koki, Constandina; Leonardos, Stefanos; Piliouras, Georgios - In: Research in international business and finance 59 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013410834

Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model

Gao, Lingbo; Ye, Wuyi; Guo, Ranran - In: Finance research letters 48 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013459321

Regime switching optimal growth model with risk sensitive preferences

Goswami, Anindya; Rana, Nimit; Siu, Tak Kuen - In: Journal of mathematical economics 101 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013539016

Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?

Charfeddine, Lanouar; Klein, Tony; Walther, Thomas - 2018

This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with recent data up to 2016Q4. Secondly, it re-examines...

Persistent link: https://www.econbiz.de/10014284449

Oil price changes and U.S. real GDP growth : is this time different?

Charfeddine, Lanouar; Klein, Tony; Walther, Thomas - 2018

Persistent link: https://www.econbiz.de/10011906502

Mapping China's time-varying house price landscape

Funke, Michael; Leiva-Leon, Danilo; Tsang, Andrew - 2018

Persistent link: https://www.econbiz.de/10012201665

Forecasting turbulence in the Asian and European stock market using regime-switching models

Engel, Janina; Wahl, Markus; Zagst, Rudi - In: Quantitative finance and economics 2 (2018) 2, pp. 388-406

Persistent link: https://www.econbiz.de/10012156674

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